PT - JOURNAL ARTICLE AU - Wesley Phoa TI - Estimating Credit Spread Risk Using Extreme Value Theory AID - 10.3905/jpm.1999.319715 DP - 1999 Apr 30 TA - The Journal of Portfolio Management PG - 69--73 VI - 25 IP - 3 4099 - https://pm-research.com/content/25/3/69.short 4100 - https://pm-research.com/content/25/3/69.full AB - In 1998, many fixed-income investors grossly underestimated the extent of credit spread risk. The main reasons were a failure to take heavy tails into account when estimating risk, and a failure to incorporate a sufficiently long history of credit spreads into the statistic estimation process. In this article, the author provides a non-technical presentation that shows how longer-term daily data, combined with extreme value analysis, can be used to generate more accurate and more robust quintile estimates for credit spread shifts.