RT Journal Article SR Electronic T1 How Unlucky Is 25-Sigma? JF The Journal of Portfolio Management FD Institutional Investor Journals SP 76 OP 80 DO 10.3905/jpm.2008.709984 VO 34 IS 4 A1 Kevin Dowd A1 John Cotter A1 Chris Humphrey A1 Margaret Woods YR 2008 UL https://pm-research.com/content/34/4/76.abstract AB 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.TOPICS: Accounting and ratio analysis, statistical methods