Neural learning for extreme values

At the intersection of extreme value theory and neural networks — When can we make neural nets model rare extremes well?

This is a subtle problem. Extremal values are hard to estimate in general for a bunch of obvious and less obvious reasons.

The risks you care about you might only see once. The distributions of the risk might be correlated in difficult ways, even spatially in ways that are challenging for neural nets even before we worry about the classical risk management.

But! Apparently, there are things that can be done!

TBC