An EVT Primer for Credit Risk

We review, from the point of view of credit risk management, classical Extreme Value Theory in its one–dimensional (EVT) as well as more–dimensional (MEVT) setup. The presentation is highly coloured by the current economic crisis against which background we discuss the (non–)usefulness of certain methodological developments. We further present an outlook on current and future research for the modelling of extremes and rare event probabilities.

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