An Extreme Value Approach To Pricing Credit Risk
(2018) In Master’s Theses in Mathematical Sciences FMSM01 20181Mathematical Statistics
- Abstract
- An Extreme Value Approach To Pricing Credit Risk will outline the possibility to investigate a company’s price of risk over different time periods given a pre-defined risk level. With help of credit default swap (CDS) prices and extreme value theory the credit risk can be estimated for different return levels. This is incorporated by investigating monthly CDS data from Deutsche Bank AG EUR CDS 5Y between the time periods of August 2001 to April 2018 and applying the data to extreme value theory.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8964136
- author
- Landin, Sofia LU
- supervisor
- organization
- course
- FMSM01 20181
- year
- 2018
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- Credit Risk, Credit Default Swap, Credit Valuation Adjustment, Extreme Value Theory, Generalized Extreme Value Distribution, Gumbel Distribution, Generalized Pareto Distribution, Block Maxima, Peak-over-Threshold, Probable Maximum Loss
- publication/series
- Master’s Theses in Mathematical Sciences
- report number
- LUFTS-3358-2018
- ISSN
- 1404-6342
- other publication id
- 2018:E69
- language
- English
- id
- 8964136
- date added to LUP
- 2018-12-13 16:39:39
- date last changed
- 2018-12-13 16:39:39
@misc{8964136, abstract = {{An Extreme Value Approach To Pricing Credit Risk will outline the possibility to investigate a company’s price of risk over different time periods given a pre-defined risk level. With help of credit default swap (CDS) prices and extreme value theory the credit risk can be estimated for different return levels. This is incorporated by investigating monthly CDS data from Deutsche Bank AG EUR CDS 5Y between the time periods of August 2001 to April 2018 and applying the data to extreme value theory.}}, author = {{Landin, Sofia}}, issn = {{1404-6342}}, language = {{eng}}, note = {{Student Paper}}, series = {{Master’s Theses in Mathematical Sciences}}, title = {{An Extreme Value Approach To Pricing Credit Risk}}, year = {{2018}}, }