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This letter uses the Block Maxima Extreme Value approach to quantifycatastrophic risk in international equity markets. Risk measures are generatedfrom a set threshold of the distribution of returns that avoids the pitfall ofusing absolute returns for markets exhibiting diverging levels of risk. From anapplication to leading markets, the letter finds that the Nikkei is more proneto catastrophic risk than the FTSE and Dow Jones Indexes.

Modelling catastrophic risk in international equity markets: An extreme value approach