PRMIA Exam 8010 Topic 1 Question 45 Discussion

Actual exam question for PRMIA's Operational Risk Manager (ORM) Exam exam

Question #: 45
Topic #: 1

[All Operational Risk Manager (ORM) Exam Questions]

Which of the following are valid approaches for extreme value analysis given a dataset:

1. The Block Maxima approach

2. Least squares approach

3. Maximum likelihood approach

4. Peak-over-thresholds approach

A2 and 3

B1, 3 and 4

C1 and 4

DAll of the above

Show Suggested Answer

Suggested Answer: C

For EVT, we use the block maxima or the peaks-over-threshold methods. These provide us the data points that can be fitted to a GEV distribution.

Least squares and maximum likelihood are methods that are used for curve fitting, and they have a variety of applications across risk management.

by Lizbeth at Apr 20, 2024, 01:11 PM

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Tamie

2 days ago

Hey, what do you think about this extreme value analysis question?

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Venita

11 days ago

Great, so all the mentioned approaches are valid for extreme value analysis.

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Edward

12 days ago

D) All of the above

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Venita

13 days ago

Oh, it seems the Block Maxima approach, Maximum likelihood approach, and Peak-over-thresholds approach are all valid.

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Glory

14 days ago

B) 1, 3 and 4

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Venita

15 days ago

So, the valid approaches are the Least squares approach and the Maximum likelihood approach?

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Mirta

16 days ago

A) 2 and 3

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Venita

17 days ago

Which of the following are valid approaches for extreme value analysis given a dataset?

upvoted 0 times

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