Modelling Catastrophic Risk in International Equity Markets: An Extreme Value Approach
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.
|Date of creation:||24 Jun 2011|
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- John Cotter & Donal G. McKillop, 2000.
"The Distributional Characteristics of a Selection of Contracts Traded on the London International Financial Futures Exchange,"
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"Downside risk for European equity markets,"
Applied Financial Economics,
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- Longin, Francois M., 2000. "From value at risk to stress testing: The extreme value approach," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1097-1130, July.
- Hans Dewachter & Geert Gielens, 1999. "Setting futures margins: the extremes approach," Applied Financial Economics, Taylor & Francis Journals, vol. 9(2), pages 173-181.
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