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

John Cotter

MPRA Paper from University Library of Munich, Germany

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.

JEL-codes: G10 G15 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (1)

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https://mpra.ub.uni-muenchen.de/3507/1/MPRA_paper_3507.pdf original version (application/pdf)

Related works:
Working Paper: Modelling catastrophic risk in international equity markets: An extreme value approach (2011)
Working Paper: Modelling Catastrophic Risk in International Equity Markets: An Extreme Value Approach (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:3507

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