Is it possible to change Just Cause 2's difficulty?

I had the exact same feeling, wanting to change it to Extreme after a while, since I seem to stay alive in mad gunfights.
I ended up having to just create a new game -- the game doesn't allow you to change the difficulty. But if there is a hack of some sort that does that, I am not aware of it.

P.S. The gunfights get tougher and the AI gets sharper at aiming as you progress in the game, so either think twice about changing difficulty or be prepared and practice your dodging and evasion techniques, and don't spray-and-pray -- make every bullet count; enemies will take on more damage before they fall.