Thread by @RichmanRonald

@Sharpe_Actuary and I hosted the kickoff session of the Global Technical Incerto Reading Club on Monday. Thanks to the amazing work of Jake Billings (github.com/jake-billings) there is now a website with links to the recording and slides:

techincertoreadingclub.com

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@Sharpe_Actuary delivered a brilliant introduction to extreme value theory. Here is a snippet from the slides showing how the 99.5th quantile of a Generalized Pareto Distribution varies with the threshold chosen for the extreme values. 2/N

We will add code to the GitHub repository to reproduce some of these results. The code will be stored here:

github.com/Technical-Ince…

Here are some great repositories with related material:

github.com/MarcosCarreira…

github.com/FergM/fattails from @MFergal

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We look forward to @nntaleb speaking to the reading club on 9 Feb 2021 and welcome you to sign up for the talk here:

meetup.com/global-technic…

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