Beyond reasonable doubt: multiple tail risk measures applied to European industries
Document Type
Journal Article
Publisher
Taylor and Francis
Faculty
Faculty of Business and Law
School
School of Accounting, Finance and Economics / Finance, Economics, Markets and Accounting Research Centre
RAS ID
12320
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.
DOI
10.1080/13504851.2011.593496
Access Rights
subscription content
Comments
Allen, D. E., Powell, R. , & Singh, A. (2011). Beyond reasonable doubt: multiple tail risk measures applied to European industries. Applied Economics Letters, 19(7), 671-676. Available here