Disentangling crashes from tail events
Aboura, Sofiane (2010), Disentangling crashes from tail events, AFFI 2010, 2010-05, Saint-Malo, France
TypeCommunication / Conférence
Conference titleAFFI 2010
Journal nameInternational journal of finance and economics
MetadataShow full item record
Dauphine Recherches en Management [DRM]
Abstract (EN)The study of tail events has become a central preoccupation for academics, investors and policy makers, given the recent financial turmoil. However, the question on what differentiates a crash from a tail event remains unsolved. This article elaborates a new definition of stock market crash taking a risk management perspective based on an augmented extreme value theory methodology. An empirical test on the French stock market (1968–2008) indicates that it experienced only two crashes in 2007–2008 among the 12 identified over the whole period.
Subjects / KeywordsExtreme Value Theory; Volatility; Risk Management; Crash; Contagion effect; Systemic risk
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