Show Summary Details

Page of

PRINTED FROM OXFORD HANDBOOKS ONLINE (www.oxfordhandbooks.com). © Oxford University Press, 2018. All Rights Reserved. Under the terms of the licence agreement, an individual user may print out a PDF of a single chapter of a title in Oxford Handbooks Online for personal use (for details see Privacy Policy and Legal Notice).

date: 20 July 2019

Abstract and Keywords

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.

Keywords: external events modelling, credit risk, quantitative risk management, extreme value theory

Access to the complete content on Oxford Handbooks Online requires a subscription or purchase. Public users are able to search the site and view the abstracts and keywords for each book and chapter without a subscription.

Please subscribe or login to access full text content.

If you have purchased a print title that contains an access token, please see the token for information about how to register your code.

For questions on access or troubleshooting, please check our FAQs, and if you can''t find the answer there, please contact us.