We propose a multivariate model of returns that accounts for four of the stylised facts of
financial data: heavy tails, skew, volatility clustering, and asymmetric dependence with the …

This paper seeks to identify the macroeconomic and financial factors that drive credit
spreads on bond indices in the US credit market. To overcome the idiosyncratic nature of …

Extreme Value Theory in Finance Page 1 Extreme Value Theory in Finance Erik Brodin∗
Claudia Klüppelberg† Abstract Extreme value theory is a practical and useful tool for …

We provide evidence that a bank's subordinated debt yield spread is not, by itself, a
sufficient measure of default risk. We use a model in which subordinated debt is held by …

It is a well-known stylized fact that the distributions of financial asset returns are non-normal
and fat-tailed. In this study, we explore whether this stylized fact also applies to the log …

We provide evidence that a bank's subordinated debt yield spread is not, by itself, a
sufficient measure of default risk. We use a model in which subordinated debt is held by …

Extreme Value Theory and Credit Spreads Page 1 k Fourteen Chapter Extreme Value Theory
and Credit Spreads Wesley Phoa Capital Fixed Income Investors, The Capital Group …

Credit spreads are important financial tools, since they are used as indicators of economic
progression, investment decisions, trading and hedging, as well as pricing credit derivatives …

We provide evidence that a bank's subordinated debt yield spread is not, by itself, a
sufficient measure of default risk. We use a model in which subordinated debt is held by …

Inhaltsangabe: Einleitung: Obwohl im Sektor der Energieversorgung in Deutschland in der
Vergangenheit äußerst wenige Ausfälle von Unternehmen beobachtet worden sind, zeigen …