Equity Tail Risk Before and after the Financial Crisis

7 Pages Posted: 30 Sep 2011 Last revised: 3 Oct 2011

Date Written: September 28, 2011


We try to reconcile the popular opinion that the Financial Crisis has fundamentally altered equity risk characteristics with empirical data. Our analysis based on Extreme Value Theory suggests that equity tail risks have remained remarkably stable. This means that the loss dynamics of S&P 500 experienced since October 2007 could have been anticipated by equity investors as well as equity investment managers performing quantitative risk analysis.

Keywords: equity, risk, extreme value theory, volatility, GARCH

Suggested Citation

Steiner, Andreas, Equity Tail Risk Before and after the Financial Crisis (September 28, 2011). Available at SSRN: https://ssrn.com/abstract=1935035 or http://dx.doi.org/10.2139/ssrn.1935035

Andreas Steiner (Contact Author)

Andreas Steiner Consulting GmbH ( email )

Walderstrasse 43c
Hinwil, 8340

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