An EVT primer for credit risk

Détails

ID Serval
serval:BIB_C4A2C1C548EE
Type
Partie de livre
Sous-type
Chapitre: chapitre ou section
Collection
Publications
Titre
An EVT primer for credit risk
Titre du livre
The Oxford Handbook of Credit Derivatives
Auteur(s)
Chavez-Demoulin V., Embrechts P.
Editeur
Oxford University Press
ISBN
9780199546787
Statut éditorial
Publié
Date de publication
01/2011
Editeur scientifique
Lipton, A. & Rennie, A. 
Pages
500-532
Langue
anglais
Résumé
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.
Mots-clé
external events modelling, credit risk, quantitative risk management, extreme value theory
Création de la notice
23/08/2011 9:07
Dernière modification de la notice
03/03/2018 21:14
Données d'usage