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| Author: | Byström, H.E |
| Title: | Using extreme value theory to estimate the likelihood of banking sector failure |
| Journal: | European Journal of Finance
2006 : JUN, VOL. 12:4, p. 303-312 |
| Index terms: | banking banks defaults finance forecasting risk |
| Language: | eng |
| Abstract: | This paper examines the default probability of banks by using extreme value theory which is applied to the Swedish banking sector around the banking crisis of the early 1990s. According to the writer, the model estimates more stable and realistic default probabilities which are also consistent with major credit rating companiesÂ’ estimations. |
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