Show simple item record Dowd, Kevin Cotter, John Humphrey, Christopher Woods, Margaret 2009-11-18T17:44:04Z 2009-11-18T17:44:04Z 2008, Euromoney Institutional Investor PLC en 2008
dc.identifier.citation Journal of Portfolio Management en
dc.identifier.issn 0095-4918
dc.description.abstract This article examines the likelihood of high-sigma loss events, paying particular attention to the so-called 25-sigma events which a number of financial institutions have allegedly experienced in the recent financial turmoil. The authors discuss several well-known cases and their media coverage, and then examine the probabilities of such events and the periods of time that would elapse before one would expect to witness them. They find that 25-sigma events are far less likely to occur than recent discussions would suggest--so much so, in fact, that they are literally incredible. en
dc.format.extent 366071 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher Euromoney Institutional Investor en
dc.subject.lcsh Distribution (Probability theory) en
dc.subject.lcsh Financial crises--Econometric models en
dc.subject.lcsh Global Financial Crisis, 2008-2009 en
dc.title How unlucky is 25-Sigma? en
dc.type Journal Article en
dc.internal.authorurl John Cotter (web page) en
dc.internal.authorurl en
dc.internal.authorid UCD0043 en
dc.internal.availability Full text available en
dc.status Peer reviewed en
dc.identifier.volume 34 en
dc.identifier.issue 4 en
dc.identifier.startpage 76 en
dc.identifier.endpage 80 en
dc.identifier.doi 10.3905/jpm.2008.709984
dc.neeo.contributor Dowd|Kevin|aut|
dc.neeo.contributor Cotter|John|aut|
dc.neeo.contributor Humphrey|Christopher|aut|
dc.neeo.contributor Woods|Margaret|aut|

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