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How Unlucky is 25-Sigma?

Author

Listed:
  • Kevin Dowd

    (Centre for Risk and Insurance Studies, Nottingham University Business School)

  • Margaret Woods

    (Centre for Risk and Insurance Studies, Nottingham University Business School)

  • John Cotter

    (Centre for Financial Markets, School of Business,University College Dublin)

  • Chris Humphrey

    (School of Accounting and Finance, University of Manchester)

Abstract

One of the more memorable moments of last summer's credit crunch came when the CFO of Goldman Sachs, David Viniar, announced in August that Goldman's flagship GEO hedge fund had lost 27% of its value since the start of the year. As Mr. Viniar explained, "We were seeing things that were 25-standard deviation moves, several days in a row."
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Kevin Dowd & Margaret Woods & John Cotter & Chris Humphrey, 2010. "How Unlucky is 25-Sigma?," Working Papers 200838, Geary Institute, University College Dublin.
    • Handle: RePEc:ucd:wpaper:200838
    as

    Download full text from publisher

    File URL: http://www.ucd.ie/geary/static/publications/workingpapers/gearywp200838.pdf
    File Function: First version, 2008
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    Citations

    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Possible pitfalls of a 1-in-X approach to financial stability
      by BankUnderground in Bank Underground on 2020-02-06 09:00:00

    Citations

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    Cited by:

    1. Jingnan Chen & Mark D. Flood & Richard B. Sowers, 2017. "Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1491-1507, October.
    2. Jakob Moggia, 2021. "Moral Responsibility for Systemic Financial Risk," Journal of Business Ethics, Springer, vol. 169(3), pages 461-473, March.
    3. Jean-Edouard Colliard, 2019. "Strategic Selection of Risk Models and Bank Capital Regulation," Management Science, INFORMS, vol. 67(6), pages 2591-2606, June.
    4. Eiji Goto & Jan P.A.M. Jacobs & Tara M. Sinclair & Simon van Norden, 2023. "Employment reconciliation and nowcasting," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(7), pages 1007-1017, November.
    5. Herring, Richard J., 2018. "The Evolving Complexity of Capital Regulation," Working Papers 18-01, University of Pennsylvania, Wharton School, Weiss Center.
    6. Domagoj Sajter, 2015. "When Can We Call It “Extraordinary Circumstances”? Examination of Currency Exchange Rate Shocks," MIC 2015: Managing Sustainable Growth; Proceedings of the Joint International Conference, Portorož, Slovenia, 28–30 May 2015,, University of Primorska, Faculty of Management Koper.
    7. Kevin Dowd & Martin Hutchinson, 2014. "How Should Financial Markets Be Regulated?," Cato Journal, Cato Journal, Cato Institute, vol. 34(2), pages 353-388, Spring/Su.
    8. Kevin Dowd, 2015. "Central Bank Stress Tests: Mad, Bad, and Dangerous," Cato Journal, Cato Journal, Cato Institute, vol. 35(3), pages 507-524, Fall.

    More about this item

    JEL classification:

    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation

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