Q23
Single choice
Which of the following is true in relation to the application of Extreme Value Theory when applied to operational risk measurement?
I - EVT focuses on extreme losses that are generally not covered by standard distribution assumptions II - EVT considers the distribution of losses in the tails III - The Peaks-over-thresholds (POT) and the generalized Pareto distributions are used to model extreme value distributions IV - EVT is concerned with average losses beyond a given level of confidence