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| An EVT Primer for Credit Risk by Valérie Chavez-Demoulin of EPF Lausanne, and May 25, 2009 Abstract: We review, from the point of view of credit risk management, classical Extreme Value Theory in its one–dimensional (EVT) as well as more–dimensional (MEVT) setup. The presentation is highly coloured by the current economic crisis against which background we discuss the (non–)usefulness of certain methodological developments. We further present an outlook on current and future research for the modelling of extremes and rare event probabilities. Keywords: Basel II, Copula, Credit Risk, Dependence Modelling, Diversification, Extreme Value Theory, Regular Variation, Risk Aggregation, Risk Concentration, Subprime Crisis. Books Referenced in this Paper: (what is this?)
Download paper (825K PDF) 46 pages Related reading: Credit Risk Modeling and Valuation: An Introduction
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