Ma, Yong; Zhang, Zhengjun; Zhang, Weiguo; Xu, Weidong - In: Computational Economics 45 (2015) 4, pp. 647-668
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 value theory to derive the distribution functions of the state …. According to multivariate extreme value theory, extreme value copula is applicable to build the dependence between the state …