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The Peaks Over Threshold (POT) approach serves as a basis for an expanded model of risk estimation. Which of the following statements are false regarding POT?
I. Under the POT method, in the case of “fat” tails, not all moments are defined. II. POT is often estimated with a Generalized Pareto Distribution. A. Both I and II. B. Neither I nor II. C. I only. D. II only. |