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hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorAboura, Sofiane*
dc.date.accessioned2011-12-02T11:08:54Z
dc.date.available2011-12-02T11:08:54Z
dc.date.issued2009-09
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7713
dc.language.isoenen
dc.subjectExtreme Value Theoryen
dc.subjectRisk managementen
dc.subject.ddc658.1en
dc.subject.classificationjelG.G3.G32en
dc.subject.classificationjelG.G2.G21en
dc.titleThe extreme downside risk of the S&P 500 stock indexen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenExtreme 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.en
dc.relation.isversionofjnlnameJournal of Financial Transformation
dc.relation.isversionofjnlissue26en
dc.relation.isversionofjnldate2009-09
dc.relation.isversionofjnlpages47en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherCapcoen
dc.subject.ddclabelOrganisation et finances d'entrepriseen
dc.description.halcandidateoui
dc.description.readershipRecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewednon
hal.author.functionaut


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