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Financial Risk Manager Part 2

Financial Risk Manager Part 2

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A Chief Risk Officer (CRO) expresses concern about the adequacy of the company's current risk assessment models in handling potential significant and unexpected losses. To address this issue, the CRO proposes the adoption of Extreme Value Theory (EVT). Considering the application of EVT and its focus on evaluating loss distributions that exceed a specified threshold, which of the following statements is correct?

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