
Financial Risk Manager Part 2
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During a risk team meeting, the Chief Risk Officer (CRO) of a regional bank expressed concerns regarding the inadequacy of the bank's current risk models in assessing potential random extreme losses. In response, a risk analyst suggested the incorporation of a model based on extreme value theory (EvT) to address this problem. Considering the use of EvT and focusing on the analysis of loss distributions that exceed a specific threshold, which of the following statements holds true?
During a risk team meeting, the Chief Risk Officer (CRO) of a regional bank expressed concerns regarding the inadequacy of the bank's current risk models in assessing potential random extreme losses. In response, a risk analyst suggested the incorporation of a model based on extreme value theory (EvT) to address this problem. Considering the use of EvT and focusing on the analysis of loss distributions that exceed a specific threshold, which of the following statements holds true?
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