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

Aboura, Sofiane

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

Nom de la revue

Journal of Financial Transformation

Numéro

Éditeur

Capco

Métadonnées

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Auteur(s)

Aboura, Sofiane
Dauphine Recherches en Management [DRM]

Résumé (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.

Mots-clés

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