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Contribution Details
Type | Master's Thesis |
Scope | Discipline-based scholarship |
Title | Estimating Extreme Risks in Interest Rate |
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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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