Beyond reasonable doubt

multiple tail risk measures applied to European industries

David Edmund Allen, Robert John Powell, Abhay Kumar Singh

Research output: Contribution to journalArticle

4 Citations (Scopus)

Abstract

Using a comprehensive range of metrics, this article determines how relative market and credit risk change among European sectors during extreme market fluctuations. Differences are found between conditional and nonconditional outcomes, and sectors which were most risky prior to the Global Financial Crisis (GFC) are found to be different to the riskiest sectors during the GFC. These findings are consistent across the metrics used. The insights into extreme sectoral risk are important to investors in portfolio selection and to banks in setting sectoral concentration limits.

Original languageEnglish
Pages (from-to)671-676
Number of pages6
JournalApplied Economics Letters
Volume19
Issue number7
DOIs
Publication statusPublished - May 2012
Externally publishedYes

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Keywords

  • Conditional value at risk
  • Credit risk
  • Distance to default
  • Market risk
  • Value at risk

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