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Modelling catastrophic risk in international equity markets : an extreme value approach
Author(s)
Date Issued
2005-04-06
Date Available
2009-06-16T15:44:51Z
Abstract
This letter uses the Block Maxima Extreme Value approach to quantify catastrophic
risk in international equity markets. Risk measures are generated from a set threshold
of the distribution of returns that avoids the pitfall of using absolute returns for
markets exhibiting diverging levels of risk. From an application to leading markets, the letter finds that the Nikkei is more prone to catastrophic risk than the FTSE and Dow Jones Indexes.
Sponsorship
University College Dublin faculty research funding
Type of Material
Working Paper
Publisher
University College Dublin. School of Business. Centre for Financial Markets
Series
Centre for Financial Markets working paper series
WP-06-06
Copyright (Published Version)
2005, Centre for Financial Markets
Subject – LCSH
Extreme value theory
Stock exchanges
Risk--Econometric models
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
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