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  • Publication
    How unlucky is 25-Sigma?
    (University College Dublin. School of Business. Centre for Financial Markets, 2008-03-24) ; ; ;
      1008
  • Publication
    How unlucky is 25-Sigma?
    (Euromoney Institutional Investor, 2008) ; ; ;
    This article examines the likelihood of high-sigma loss events, paying particular attention to the so-called 25-sigma events which a number of financial institutions have allegedly experienced in the recent financial turmoil. The authors discuss several well-known cases and their media coverage, and then examine the probabilities of such events and the periods of time that would elapse before one would expect to witness them. They find that 25-sigma events are far less likely to occur than recent discussions would suggest--so much so, in fact, that they are literally incredible.
      941ScopusĀ© Citations 19