An Extreme Value Approach To Pricing Credit Risk

Detta är en Master-uppsats från Lunds universitet/Matematisk statistik

Sammanfattning: 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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