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Modelling catastrophic risk in international equity markets: An extreme value approach

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  • john cotter

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.

Suggested Citation

  • john cotter, 2011. "Modelling catastrophic risk in international equity markets: An extreme value approach," Papers 1103.5656, arXiv.org.
    • Handle: RePEc:arx:papers:1103.5656
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    Cited by:

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    2. Ra l de Jes s-Guti rrez & Roberto J. Santill n-Salgado, 2019. "Conditional Extreme Values Theory and Tail-related Risk Measures: Evidence from Latin American Stock Markets," International Journal of Economics and Financial Issues, Econjournals, vol. 9(3), pages 127-141.

    More about this item

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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