IDEAS home Printed from https://ideas.repec.org/p/ucd/wpaper/200838.html
   My bibliography  Save this paper

How Unlucky is 25-Sigma?

Author

Listed:
  • 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.)

Suggested Citation

  • Kevin Dowd & Margaret Woods & John Cotter & Chris Humphrey, 2010. "How Unlucky is 25-Sigma?," Working Papers 200838, Geary Institute, University College Dublin.
    • Handle: RePEc:ucd:wpaper:200838
    as

    Download full text from publisher

    File URL: http://www.ucd.ie/geary/static/publications/workingpapers/gearywp200838.pdf
    File Function: First version, 2008
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Possible pitfalls of a 1-in-X approach to financial stability
      by BankUnderground in Bank Underground on 2020-02-06 09:00:00

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jingnan Chen & Mark D. Flood & Richard B. Sowers, 2017. "Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1491-1507, October.
    2. Jean-Edouard Colliard, 2019. "Strategic Selection of Risk Models and Bank Capital Regulation," Management Science, INFORMS, vol. 67(6), pages 2591-2606, June.
    3. Kevin Dowd & Martin Hutchinson, 2014. "How Should Financial Markets Be Regulated?," Cato Journal, Cato Journal, Cato Institute, vol. 34(2), pages 353-388, Spring/Su.
    4. Eiji Goto & Jan P.A.M. Jacobs & Tara M. Sinclair & Simon van Norden, 2023. "Employment reconciliation and nowcasting," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(7), pages 1007-1017, November.
    5. Jakob Moggia, 2021. "Moral Responsibility for Systemic Financial Risk," Journal of Business Ethics, Springer, vol. 169(3), pages 461-473, March.
    6. Herring, Richard J., 2018. "The Evolving Complexity of Capital Regulation," Working Papers 18-01, University of Pennsylvania, Wharton School, Weiss Center.
    7. Kevin Dowd, 2015. "Central Bank Stress Tests: Mad, Bad, and Dangerous," Cato Journal, Cato Journal, Cato Institute, vol. 35(3), pages 507-524, Fall.
    8. Domagoj Sajter, 2015. "When Can We Call It “Extraordinary Circumstances”? Examination of Currency Exchange Rate Shocks," MIC 2015: Managing Sustainable Growth; Proceedings of the Joint International Conference, Portorož, Slovenia, 28–30 May 2015,, University of Primorska, Faculty of Management Koper.

    More about this item

    JEL classification:

    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ucd:wpaper:200838. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Geary Tech (email available below). General contact details of provider: https://edirc.repec.org/data/geucdie.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.