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

By john cotter

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

Topics: Quantitative Finance - Risk Management, Quantitative Finance - Statistical Finance
Year: 2011
OAI identifier: oai:arXiv.org:1103.5656
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