Under the Extreme Value Theorem (EVT), which of the following is (are) TRUE regarding the modeling of market risk?
- The three key resulting distributions are: Gumbel, Weibull, and Frechet.
- EVT permits the analysis of maxima and minima distributions.
- EVT is does not account for “heavy” tails observed in the market place.
- EVT is dependent upon the normal distribution.
A. I and III only.
B. I only.
C. None of these.
D. I and II only.
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