Extreme Value Analysis (EVA) in Python
Modeling Nonstationary Extreme Value Distributions
A python package for Extreme Value Analysis.
GNN for spatiotemporal Forecasting using Extreme Value Theory
Repository for the course 'Financial Risk' at Gothenburg University
An End-to-End Python implementation of Köhler et al.'s (2026) orthogonalized tail-risk framework. Combines PCA-whitening spectral decomposition with Peaks-Over-Threshold EVT to quantify extreme risks in 479-dimensional financial networks. Implements Ferro-Segers clustering, dynamic residualization, and out-of-core processing for 2.6B+ data points.
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