标题： 国际股票市场中的灾难性风险建模：极端价值方法 显示英文标题

标题： Modelling catastrophic risk in international equity markets: An extreme value approach

摘要： 这封信使用块最大值极端值方法来量化国际股票市场的灾难性风险。 风险度量是从收益分布的一个阈值生成的，这避免了在风险水平不同的市场中使用绝对收益的陷阱。 从对主要市场的应用来看，这封信发现日经指数比富时和道琼斯指数更容易受到灾难性风险的影响。 显示英文摘要

摘要： This letter uses the Block Maxima Extreme Value approach to quantify catastrophic risk in international equity markets. Risk measures are generated from a set threshold of the distribution of returns that avoids the pitfall of using absolute returns for markets exhibiting diverging levels of risk. From an application to leading markets, the letter finds that the Nikkei is more prone to catastrophic risk than the FTSE and Dow Jones Indexes.