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

Aboura, Sofiane (2009), The extreme downside risk of the S&P 500 stock index, Journal of Financial Transformation, 26, p. 47

Type
Article accepté pour publication ou publié
Date
2009-09
Journal name
Journal of Financial Transformation
Number
26
Publisher
Capco
Pages
47
Metadata
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Author(s)
Aboura, Sofiane
Dauphine Recherches en Management [DRM]
Abstract (EN)
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.
Subjects / Keywords
Extreme Value Theory; Risk management
JEL
G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages