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How Unlucky is 25-Sigma?

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Author Info

  • Kevin Dowd

    (Centre for Risk and Insurance Studies, Nottingham University Business School)

  • Margaret Woods

    (Centre for Risk and Insurance Studies, Nottingham University Business School)

  • John Cotter

    (Centre for Financial Markets, School of Business,University College Dublin)

  • Chris Humphrey

    (School of Accounting and Finance, University of Manchester)

Abstract

One of the more memorable moments of last summer's credit crunch came when the CFO of Goldman Sachs, David Viniar, announced in August that Goldman's flagship GEO hedge fund had lost 27% of its value since the start of the year. As Mr. Viniar explained, "We were seeing things that were 25-standard deviation moves, several days in a row."

(This abstract was borrowed from another version of this item.)

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File URL: http://www.ucd.ie/geary/static/publications/workingpapers/gearywp200838.pdf
File Function: First version, 2008
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Bibliographic Info

Paper provided by Geary Institute, University College Dublin in its series Working Papers with number 200838.

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Length: 8 pages
Date of creation: 13 Apr 2010
Date of revision:
Handle: RePEc:ucd:wpaper:200838

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