- Oxford Handbooks in Finance
- Series Editor's Preface
- List of Figures
- List of Tables
- List of Contributors
- Non-Technical Introduction
- Technical Introduction
- Default Recovery Rates and Lgd in Credit Risk Modelling and Practice
- A Guide to Modelling credit term Structures
- Statistical data mining procedures in generalized cox regressions
- An Exposition Of CDS Market Models
- Single‐and Multi‐Name Credit Derivatives: Theory and Practice
- Marshall‐Olkin Copula‐Based Models
- Contagion Models in Credit Risk
- Markov Chain Models of Portfolio Credit Risk
- Counterparty Risk in Credit Derivative Contracts
- Credit Value Adjustment in the Extended Structural Default Model
- A New Philosophy of the Market
- An EVT Primer for Credit Risk
- Saddlepoint methods in portfolio theory
- Quantitative Aspects of the collapse of the parallel banking system
- Home Price Derivatives and Modelling
- A Valuation Model for ABS Cdos
- Name Index
- Subject Index
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.
Valérie Chavez‐Demoulin is lecturer in the Department of Mathematics at the Swiss Federal Institute of Technology in Lausanne (EPFL). Her research on Quantitative Risk Management at the Risklab of the Swiss Federal Institute of Technology in Zurich (ETHZ) consists of statistical methods applied to insurance and finance, mainly concentrating on the impact of extremal events. Aside from her research, she has been the Quantitative Analyst for a Hedge Fund for three years and Head of Statistics at the Direction of Education at the EPFL over the past two years.
Paul Embrechts, Department of Mathematics, RiskLab, ETH Zurich. Paul Embrechts is Professor of Mathematics at the ETH Zurich specializing in actuarial mathematics and quantitative risk management. Previous academic positions include the Universities of Leuven, Limburg, and London (Imperial College). Dr Embrechts has held visiting professorships at numerous universities. He is an Elected Fellow of the Institute of Mathematical Statistics, Actuary‐SAA, Honorary Fellow of the Institute and the Faculty of Actuaries, Corresponding Member of the Italian Institute of Actuaries, Member Honoris Causa of the Belgian Institute of Actuaries, and is on the editorial board of several scientific journals. He belongs to various national and international research and academic advisory committees. He co‐authored the influential books ‘Modelling of Extremal Events for Insurance and Finance’, Springer, 1997 and ‘Quantitative Risk Management: Concepts, Techniques, Tools’, Princeton UP, 2005. Dr Embrechts consults on issues in quantitative risk management for financial institutions, insurance companies, and international regulatory authorities.
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