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Contribution Details

Type Master's Thesis
Scope Discipline-based scholarship
Title Estimating Extreme Risks in Interest Rate
Organization Unit
Authors
  • Linyi Jia
Supervisors
  • Erich Walter Farkas
  • Michel Dacorogna
Language
  • English
Institution University of Zurich
Faculty Faculty of Business, Economics and Informatics
Number of Pages 94
Date 2018
Abstract Text As extreme value theory has been rapidly developed over the past several decades, many scholars have explored its applications on the stock market and insurance. However, little light has been shed on the money market. This thesis contributes to expanding the study target to the money market and examines whether the interest rate behavior can also be captured by the extreme value models. The underlying risks of the interest rate movement are estimated using a self-calibrating method and then compared with other extreme value models. The thesis also aims to investigate the extreme risks in interest rate by exploring the probability of large movements.
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