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

Cotter, John (2006): Modelling catastrophic risk in international equity markets: An extreme value approach. Published in: Applied Financial Economic Letters , Vol. 2, (2006)

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.

• Item Type: MPRA Paper
• Language: English
• Subjects: G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets; G - Financial Economics > G1 - General Financial Markets > G10 - General

References

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