Abstract
The aim of this paper is to present a simple classification of traditional risk indicators of stock markets. The last 10 years provides extensive evidence of changes of behavior of markets around the globe, combining a period of continuous growth with low volatility, an extreme crisis and a recuperation period. We present a simple analysis of risk indicators, such as implied volatility, value at risk, measuring of extreme events, etc. of 30 stock markets around the globe. Additionally we make a comparative analysis of such risk measures before and after the subprime crisis.
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Thomasz, E.O., Bariviera, A.F. (2013). Risk Behavior of Stock Markets Before and After the Subprime Crisis. In: Fernández-Izquierdo, M.Á., Muñoz-Torres, M.J., León, R. (eds) Modeling and Simulation in Engineering, Economics, and Management. MS 2013. Lecture Notes in Business Information Processing, vol 145. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-38279-6_9
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DOI: https://doi.org/10.1007/978-3-642-38279-6_9
Publisher Name: Springer, Berlin, Heidelberg
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