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Financial Risk Manager Part 2

Financial Risk Manager Part 2

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A risk analyst at an investment bank is evaluating the bank's application of extreme value theory (EVT) in managing financial risks. The analyst compares different methods of estimating extreme value (EV) parameters for the bank's operational loss distribution and examines the mechanics of each method, as well as their advantages and disadvantages. Which of the following statements regarding a method used for estimating EV parameters is correct?

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