What is extreme market risk?

Measurement of extreme market risk: Insi .... The experience of past financial market turmoil suggests that in addition to eroding investor wealth, the severe consequences of rare extreme market events can spillover and impair the broader real economies.

Are extreme market events eroding investor wealth?

The experience of past financial market turmoil suggests that in addition to eroding investor wealth, the severe consequences of rare extreme market events can spillover and impair the broader real economies. In this context, this paper is an evaluation of the methodological and empirical advances in the measurement of the extreme market risk.

What qualifies as extreme in financial markets?

This definition stands out as what qualifies as extreme in financial markets is different from that in physical phenomena. Hence, the occurrence of extreme event is not contingent on any exogenous event. It implies that rational expectations may not hold and extreme returns may be realized without any major news.

Is extreme market risk contingent on exogenous events?

Hence, the occurrence of extreme event is not contingent on any exogenous event. It implies that rational expectations may not hold and extreme returns may be realized without any major news. The empirical literature on the use of EVT to study extreme market risk is quite extensive.