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An Extreme Value Approach To Pricing Credit Risk

Landin, Sofia LU (2018) In Master’s Theses in Mathematical Sciences FMSM01 20181
Mathematical 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.
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author
Landin, Sofia LU
supervisor
organization
course
FMSM01 20181
year
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},
  keyword      = {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},
  language     = {eng},
  note         = {Student Paper},
  series       = {Master’s Theses in Mathematical Sciences},
  title        = {An Extreme Value Approach To Pricing Credit Risk},
  year         = {2018},
}