TY - JOUR T1 - Estimating Credit Spread Risk Using Extreme Value Theory JF - The Journal of Portfolio Management SP - 69 LP - 73 DO - 10.3905/jpm.1999.319715 VL - 25 IS - 3 AU - Wesley Phoa Y1 - 1999/04/30 UR - https://pm-research.com/content/25/3/69.abstract N2 - 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. ER -