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

  title={Modelling catastrophic risk in international equity markets: an extreme value approach},
  author={John Cotter},
  journal={Applied Financial Economics Letters},
  pages={13 - 17}
  • J. Cotter
  • Published 1 January 2006
  • Business, Economics
  • Applied Financial Economics Letters
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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Acknowledgements: University College Dublin's Faculty research funding is gratefully acknowledged