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The extreme downside risk of the S&P 500 stock index

Sofiane Aboura ()

Journal of Financial Transformation, 2009, vol. 26, 104-107

Abstract: Extreme value theory has been widely applied in insurance and finance to model rare events. Plenty of such events have occurred in financial markets during the last two decades, including stock market crashes, currency crises, or large bankruptcies. This article applies extreme value theory results to quantify the extreme downside risk of the S&P 500 stock index in light of the recent systemic banking crisis. The lower tail of the premier American stock index distribution reveals how deep the impact of the recent financial crisis is.

Keywords: Extreme value theory; rare events; extreme downside risk (search for similar items in EconPapers)
JEL-codes: G21 G32 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:ris:jofitr:1397

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