%0 Journal Article %A Wesley Phoa %T Estimating Credit Spread Risk Using Extreme Value Theory %D 1999 %R 10.3905/jpm.1999.319715 %J The Journal of Portfolio Management %P 69-73 %V 25 %N 3 %X 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. %U https://jpm.pm-research.com/content/iijpormgmt/25/3/69.full.pdf