The influence of international interest rate changes on the Dublin interbank money market rates (Dibor) is investigated. Specifically, the impact of (un)expected changes in German(Euro) area and US policy rates on various Dibor rates between 1991 to 2002 is analysed in an event type study....

This article uses Extreme Value Theory (EVT) to measure extreme risk in futures contracts with diverging underlying assets. The approach provides a framework for analysing the distributional properties of extreme returns. EVT is statistically robust at estimating Value at Risk (VaR) for...