RT Journal Article
SR Electronic
T1 Estimating Credit Spread Risk Using Extreme Value Theory
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 69
OP 73
DO 10.3905/jpm.1999.319715
VO 25
IS 3
A1 Wesley Phoa
YR 1999
UL https://pm-research.com/content/25/3/69.abstract
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.