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

Cotter, John

doi:10.1080/17446540500401378

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Cited by 4 publications

References 9 publications

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Systemic Risk

2012

Investment Theory and Risk Management

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Systemic Risk

2012

Investment Theory and Risk Management

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El efecto de la volatilidad del peso mexicano en los rendimientos y riesgo de la Bolsa Mexicana de Valores

Gutiérrez¹,

Ortíz²

2013

Contaduría y Administración

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Resumen En México, la aplicación de Redes Neuronales Artificiales en finanzas se ha enfocado en el estudio del análisis del riesgo de crédito; empleándolas para ajustar los resultados de indicadores bursátiles. Sin embargo, esta investigación en particular, las utiliza para establecer un ajuste a la medición y clasificación del riesgo de mercado; mostrando los resultados obtenidos en la fase experimental de los procesos de entrenamiento y prueba en la segunda etapa de simulación de la red; los cuales han alcanzado un nivel de categorización arriba del 70%, mostrando las variables que contribuyen significativamente a la medición y clasificación del riesgo sistémico. Abstract In Mexico, the Artificial Neuronal Network applicated to the finances has focused in the study of the analysis of the credit risk; and to fit the results of stock-exchange indicators that offer useful information to the financial investors. Nevertheless, in this case in particular, this tool it is used to measure and classified the Mexican market risk; showing the results obtained in the experimental phase of the training and test in the second simulation stage of the network; reaching a classification rate of over 70%, presenting the variables that significantly contribute to the measurement and classification of the systematic risk.

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Stock market risk and dollarization in Ecuador

Jansen

Ortiz

2007

Applied Financial Economics Letters

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We study the impact of dollarization and related economic liberalization of Ecuador in January 2000 on the distribution of stock returns in Ecuador. While the mean dollar return of investing in Ecuadorian stocks changed from large and negative to large and positive, traditional measures of volatility such as the SD of returns actually increased after dollarization. However, focusing on the tails of the distribution and extreme events, we find that the tail thickness of the distribution of Ecuador stock returns increased for positive returns but decreased for negative returns. Thus, while the SD may have increased, it is because of a greater probability of large positive returns. The probability of large negative returns decreased post dollarization. Value at Risk estimates illustrates this phenomenon.

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

Cited by 4 publications

References 9 publications

Systemic Risk

Systemic Risk

El efecto de la volatilidad del peso mexicano en los rendimientos y riesgo de la Bolsa Mexicana de Valores

Stock market risk and dollarization in Ecuador

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