Extreme value theory and credit spreads
Wesley Phoa – Capital Group

Extreme events in finance

Buy Handbook Extreme events finance at Wiley Buy Handbook Extreme events finance at Amazon

This chapter explains the use of extreme value theory in modelling and managing portfolios of corporate bonds and credit default swaps. It discusses both tail risk and tail dependence for corporate credits. It is aimed at practitioners rather than researchers.

Extreme events in finance Extreme events in finance

Wesley Phoa, Capital Group

Wesley Phoa

Capital Group