This paper introduces a calibrated scenario generation method to estimate extreme Value-at-Risk (VaR) and Value-at-Risk confidence interval (VaR CI) of a portfolio with single risk factor which has heavy tailed distribution.

The application of compound extreme value distribution in extreme value wind prediction of building engineering;

In the context of peak over threshold method and general Pareto distribution,the process of typhoon extreme value wind predic- tion in return period for civil engineering field is discussed,so it becomes possible that extreme value wind pre- diction of typhoon climate is carried out based on short period observations.