evt_tail_risk
Fit a Generalized Pareto distribution to extreme losses and estimate Value-at-Risk and Expected Shortfall at high confidence levels where empirical data is scarce.
Instructions
Extreme-value tail analysis: fit a Generalized Pareto to losses beyond
the threshold_q quantile (peaks-over-threshold) and report EVT VaR/ES at
alpha (use for 99.5%+ where empirical quantiles run out of data).
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| alpha | No | ||
| returns | No | ||
| threshold_q | No |