VaR Type Impact Function

Impact of disruptive events is the financial loss due to those events. In general, the impact of such extreme events is modeled using heavy-tailed distributions such as Weibull, Gumbel, and Frechet distributions. Heavy tails of these distributions are appropriate for maximum or minimum 

The mean of the GEVD can be calculated using Equation 7.5 if the parameter K 0 

K Shape parameter K 0, corresponds to a Frechet distribution K = 0, corresponds to a Gumbel distribution K 0, corresponds to a WeibuU distribution 

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Since K O, the following form of the GEVD will fit the VaR type impact function. 

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