Credit risk management is important for the investors in practical risk management. This paper aims to discuss how to evaluate the default risk of bond portfolios by applying extreme value theory. Based on Black and Cox default approach, we propose a novel threshold default model and use extreme...

Extreme values are often correlated over time, for example, in a financial time series, and these values carry various risks. Max-stable processes such as maxima of moving maxima (M3) processes have been recently considered in the literature to describe timedependent dynamics, which have been...

Extreme values are often correlated over time, for example, in a financial time series, and these values carry various risks. Max-stable processes such as maxima of moving maxima (M3) processes have been recently considered in the literature to describe timedependent dynamics, which have been...

This work proposes a new copula class that we call the MGB2 copula. The new copula originates from extracting the dependence function of the multivariate GB2 distribution (MGB2) whose marginals follow the univariate generalized beta distribution of the second kind (GB2). The MGB2 copula can...

Applicability of Pearson's correlation as a measure of explained variance is by now well understood. One of its limitations is that it does not account for asymmetry in explained variance. Aiming to develop broad applicable correlation measures, we study a pair of generalized measures of...