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

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

2011-03-29

arxiv.org/abs/1103.5656v1

Economy

Quantitative Finance

Risk Management

Scientific paper

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.

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