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

John Cotter

Centre for Financial Markets Working Papers from Research Repository, University College Dublin

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.

Keywords: Extreme value theory; Stock exchanges; Risk--Econometric models (search for similar items in EconPapers)
Date: 2005-04
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http://hdl.handle.net/10197/1196 First version, 2005 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:rru:cfmwps:10197/1196

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