How does the Brexit vote affect tail risk? An extreme value approach for the UK financial markets
Konstantinos Gkillas & Lavrentios Vasiliadis
Review of Quantitative Finance and Accounting
Volume 66, pages 1093–1127 (2026) · Published online 17 June 2025
An empirical study of how the Brexit referendum affected tail risk in UK financial markets, applying Value at Risk and extreme value theory across the FTSE-100, the GBP/EUR exchange rate, Treasury Gilts and sectoral credit default swaps.
Downside tail risk did not increase significantly relative to pre-referendum levels and upside-tail estimates decreased, while the banking sector showed greater downside vulnerability.







