Disentangling crashes from tail events.

The study of tail events has become a central preoccupation for academics, investors and policy makers, given the recent financial turmoil. However, what differentiates a crash from a tail event? This article answers this question by taking a risk management perspective that is based on an augmented extreme value theory methodology with an application to the French stock market (1968-2008). Our empirical results indicate that the French stock market experienced only two crashes in 2007-2008 among the 12 identified over the whole period.