Extreme events during the crisis
You can use the Generalized Extreme Value (GEV) distribution to examine extreme values in the losses of General Electric (GE) during the financial crisis in 2008 and 2009.
This period coincided with GE's liquidity crisis, and its eventual requirement of an emergency investment of $3 billion from Berkshire Hathaway's Warren Buffet to stave off defaulting on its commercial paper obligations.
GE's losses and weekly maximum losses weekly_max are available, as is the GEV genextreme distribution from scipy.stats.
Deze oefening maakt deel uit van de cursus
Quantitative Risk Management in Python
Praktische interactieve oefening
Probeer deze oefening eens door deze voorbeeldcode in te vullen.
# Plot the log daily losses of GE over the period 2007-2009
losses.____()
# Find all daily losses greater than 10%
extreme_losses = losses[____]
# Scatter plot the extreme losses
____.plot(style='o')
plt.show()