How unlucky is 25-Sigma?

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Title: How unlucky is 25-Sigma?
Authors: Dowd, Kevin
Cotter, John
Humphrey, Christopher
Woods, Margaret
Permanent link: http://hdl.handle.net/10197/1625
Date: 2008
Abstract: 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.
Type of material: Journal Article
Publisher: Euromoney Institutional Investor
Journal: Journal of Portfolio Management
Volume: 34
Issue: 4
Start page: 76
End page: 80
Copyright (published version): 2008, Euromoney Institutional Investor PLC
Subject LCSH: Distribution (Probability theory)
Financial crises--Econometric models
Global Financial Crisis, 2008-2009
DOI: 10.3905/jpm.2008.709984
Other versions: http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=34072577&site=ehost-live
Language: en
Status of Item: Peer reviewed
Appears in Collections:Business Research Collection

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