# Generalized Extreme Value Distributions: Application in Financial Risk Management

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This Demonstration illustrates the Fisher–Tippett–Gnedenko theorem in the context of financial risk management. A sample of observations is drawn from a parent distribution that describes the probability of historical losses of a portfolio (left-hand plot). A number of draws () are repeated to obtain a histogram of 500 maximal losses (), shown as a running cumulative in the right-hand plot. At each draw, the position of is marked by a red vertical dashed line.

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Contributed by: Pichet Thiansathaporn (February 2013)

Open content licensed under CC BY-NC-SA

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Reference

[1] K. Dowd, *Measuring Market Risk, *2nd ed., West Sussex, England: Wiley, 2005 pp. 190–194.