An EVT primer for credit risk

Details

Serval ID
serval:BIB_C4A2C1C548EE
Type
A part of a book
Publication sub-type
Chapter: chapter ou part
Collection
Publications
Institution
Title
An EVT primer for credit risk
Title of the book
The Oxford Handbook of Credit Derivatives
Author(s)
Chavez-Demoulin V., Embrechts P.
Publisher
Oxford University Press
ISBN
9780199546787
Publication state
Published
Issued date
01/2011
Editor
Lipton, A. & Rennie, A. 
Pages
500-532
Language
english
Abstract
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
Create date
23/08/2011 8:07
Last modification date
20/08/2019 15:40
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