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Extreme Risk and Fat-tails Distribution Model:Empirical Analysis

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Onour, Ibrahim

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Abstract

This paper investigates estimation of extreme risk in a number of stock markets in the Gulf Cooperation Council (GCC) countries , Saudi, Kuwait, and United Arab Emirates, in addition to S& P 500 stock index, using the Generalized Pareto Distribution (GPD) model. The estimated tails parameter values for stock returns of Kuwait, Saudi, and Dubai, markets show the likelihood of significant extreme losses as well as significant extreme gains, compared to the case of more mature S&P 500 stock returns, which exhibit possibility of significant extreme losses with insignificant gain prospects.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 17736.

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Date of creation: 28 Jun 2009
Date of revision: 20 Sep 2009
Handle: RePEc:pra:mprapa:17736

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Related research
Keywords: VaR; Expected shortfall; risk; GCC stock markets;

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Find related papers by JEL classification:
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
E00 - Macroeconomics and Monetary Economics - - General - - - General
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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  1. Gencay, Ramazan & Selcuk, Faruk, 2004. "Extreme value theory and Value-at-Risk: Relative performance in emerging markets," International Journal of Forecasting, Elsevier, vol. 20(2), pages 287-303. [Downloadable!] (restricted)
  2. Pierre Giot & Sébastien Laurent, 2003. "Value-at-risk for long and short trading positions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 641-663. [Downloadable!]
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This page was last updated on 2009-11-28.

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