How unlucky is 25-Sigma?
Files in This Item:
|cotterj_article_pre_007.pdf||357.49 kB||Adobe PDF||Download|
|Title:||How unlucky is 25-Sigma?||Authors:||Dowd, Kevin
|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||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||Language:||en||Status of Item:||Peer reviewed|
|Appears in Collections:||Business Research Collection|
Show full item record
This item is available under the Attribution-NonCommercial-NoDerivs 3.0 Ireland. No item may be reproduced for commercial purposes. For other possible restrictions on use please refer to the publisher's URL where this is made available, or to notes contained in the item itself. Other terms may apply.