Extreme Risk and Fat-tails Distribution Model:Empirical Analysis

Ibrahim Onour

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates estimation of extreme risk in a number of stock markets in the Gulf Cooperation Council (GCC) countries , Saudi, Kuwait, and United Arab Emirates, in addition to S& P 500 stock index, using the Generalized Pareto Distribution (GPD) model. The estimated tails parameter values for stock returns of Kuwait, Saudi, and Dubai, markets show the likelihood of significant extreme losses as well as significant extreme gains, compared to the case of more mature S&P 500 stock returns, which exhibit possibility of significant extreme losses with insignificant gain prospects.

Keywords: VaR; Expected shortfall; risk; GCC stock markets (search for similar items in EconPapers)
JEL-codes: C50 E00 E44 (search for similar items in EconPapers)
Date: 2009-06-28, Revised 2009-09-20
New Economics Papers: this item is included in nep-ara, nep-cwa and nep-rmg
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Working Paper: Extreme Risk and Fat-tails Distribution Model:Empirical Analysis
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:17736

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