How Unlucky Is 25-Sigma?

Kevin Dowd; John Cotter; Chris Humphrey; Margaret Woods

doi:10.3905/jpm.2008.709984

How Unlucky Is 25-Sigma?

Kevin Dowd, John Cotter, Chris Humphrey and Margaret Woods

The Journal of Portfolio Management Summer 2008, 34 (4) 76-80; DOI: https://doi.org/10.3905/jpm.2008.709984

Kevin Dowd

A professor of financial risk management at the Centre for Risk and Insurance Studies, Nottingham University Business School in Nottingham, UK.

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For correspondence: kevin.dowd@nottingham.ac.uk

John Cotter

An associate professor and the director of the Centre for Financial Markets at the School of Business, University College Dublin in Dublin, Ireland.

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For correspondence: john.cotter@ucd.ie

Chris Humphrey

A professor in the Manchester Accounting and Finance Group (MAFG) at Manchester Business School, University of Manchester in Manchester, UK.

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For correspondence: chris.humphrey@mbs.ac.uk

Margaret Woods

An associate professor in accounting and finance at the Centre for Risk and Insurance Studies, Nottingham University Business School in Nottingham, UK.

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For correspondence: margaret.woods@nottingham.ac.uk

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The Journal of Portfolio Management

Vol. 34, Issue 4

Summer 2008

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How Unlucky Is 25-Sigma?