Article

An EVT Primer for Credit Risk

Valérie Chavez‐Demoulin and Paul Embrechts

in The Oxford Handbook of Credit Derivatives

Published in print January 2011 | ISBN: 9780199546787
Published online September 2012 | | DOI: http://dx.doi.org/10.1093/oxfordhb/9780199546787.013.0014

Series: Oxford Handbooks in Finance

 An EVT Primer for Credit Risk

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This article aims to provide the basics any risk manager should know on the modelling of external events, and this from a past–present–future research perspective. Such events are often also referred to as low-probability events or rare events. The article is organised as follows. Section 2 starts with an overview of the credit risk-specific issues within Quantitative Risk Management and shows where relevant Extreme Value Theory-related questions are being asked. Section 3 presents the one-dimensional theory of extremes, whereas Section 4 is concerned with the multivariate case. Section 5 discusses particular applications and gives an outlook on current research in the field, while Section 6 concludes.

Keywords: external events modelling; credit risk; quantitative risk management; extreme value theory

Article.  15978 words. 

Subjects: Economics ; Financial Markets ; Econometric and Statistical Methods and Methodology: General

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