B

问题如下：

The CRO ofan investment bank is preparing to lead a panel discussion at a risk managementconference on estimating extreme risk measures. The CRO plans to discuss themain branches of univariate extreme value theory as well as the characteristicsof the generalized extreme value (GEV) approach and the peaksover-threshold(POT) approach. Which of the following statements would be correct for the CROto include in the discussion?

选项：

A.

The block maxima approach can avoid the dataloss issues that sometimes arise under the POT approach, which constitutes anadvantage of GEV compared to POT

B.

The additional parameter that is included in thePOT approach, but not the GEV approach, is a location parameter that measuresthe central tendency of the extreme loss distribution

C.

An advantage of the POT approach is that thedistribution of extreme losses over a high threshold is assumed to always havethe same form regardless of the distribution of all losses

D.

A drawback of the GEV approach is that theparameter estimates describing the extreme loss distribution suffer from thefact that the choice of the threshold over which losses are considered extremeis subjective

解释：

C iscorrect. The block maxima approach can involve the loss of useful data relativeto the POT approach when some blocks contain more than one extreme; this is adisadvantage of GEV relative to POT.

A isincorrect. The POT approach should be used when there is more than one extremevalue in a block to avoid losing data that contains useful information fordetermining the extreme loss distribution.

B isincorrect. The GEV approach has one more parameter than the POT approach.

Dis incorrect. The POT approach faces a challenge in choosing the threshold, notthe GEV approach.