Journal Article


Margaret Woods
Christopher Humphrey
John Cotter
Kevin Dowd



probabilities financial crises econometric models distribution probability theory institutions loss media coverage likelihood global financial crisis 2008 2009

How unlucky is 25-Sigma? (2008)

Abstract This article examines the likelihood of high-sigma loss events, paying particular attention to the so-called 25-sigma events which a number of financial institutions have allegedly experienced in the recent financial turmoil. The authors discuss several well-known cases and their media coverage, and then examine the probabilities of such events and the periods of time that would elapse before one would expect to witness them. They find that 25-sigma events are far less likely to occur than recent discussions would suggest--so much so, in fact, that they are literally incredible.
Collections Ireland -> University College Dublin -> Business Research Collection
Ireland -> University College Dublin -> School of Business
Ireland -> University College Dublin -> College of Business

Full list of authors on original publication

Margaret Woods, Christopher Humphrey, John Cotter, Kevin Dowd

Experts in our system

John Cotter
University College Dublin
Total Publications: 93