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Working Paper Series - Extreme Risk and Fat-tails Distribution Model:Empirical Analysis



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Extreme Risk and Fat-tails Distribution Model:Empirical Analysis


Volume : 0

No : 0

ISSN : WPS0911

Publisher : Arab Planning Institute - Kuwait

Author (s) : Ibrahim Onour 

Published Date : 1/1/2009


Contents :
This paper investigatesestimation of extreme risk in a number of stock markets in the Gulf CooperationCouncil (GCC) countries(1), Saudi, Kuwait, and United Arab Emirates,in addition to S& P 500 stock index, using the Generalized ParetoDistribution (GPD) model. The estimated tails parameter values for stockreturns of Kuwait,Saudi, and Dubai,markets show the likelihood of significant extreme losses as well assignificant extreme gains, compared to the case of more mature S&P 500stock returns, which exhibit possibility of significant extreme losses withinsignificant gain prospects. 

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