Moloney, Kitty; Raghavendra, Srinivas - Department of Economics, National University of Ireland - 2010
his paper is motivated by empirical evidence illustrating the non-Gaussian nature of financial returns, (Jondeau et al 2007) and analyses extreme value theory, (EVT) as a proposed improvement (Embrechts et al., 2005) for risk estimation techniques.Credit default swaps, (CDS’s) are analysed due...