We’ve seen Monday, in the MAT8595 course how to use the Generalized Pareto Distribution to estimate some downside risk measures, given a sample (assumed to be i.i.d., I will not mention here properties on extremes for stochastic processes) with distribution . The cumulative distribution function of the Pareto distribution is here For some threshold , and , we can write From Pickands–Balkema–de Haan theorem, if is large enough, then Given our…