The term structure of interest rates is used to price defaultable bonds and credit derivatives, as well as to infer the quality of bonds for risk management purposes. We introduce a model that jointly estimates term structures by means of a Bayesian hierarchical model with a prior probability...

The main goal of this thesis is to use concepts and tools from extreme value theory (EVT) to model, make inference and develop prediction tools for the extremes of dependent data with a focus on the financial risk management applications. In the first part of the thesis, a new estimator of the...