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Cotter, John [Author] ; Dowd, Kevin [Other]

Extreme Spectral Risk Measures

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  • Media type: E-Book
  • Title: Extreme Spectral Risk Measures : An Application to Futures Clearinghouse Margin Requirements
  • Contributor: Cotter, John [Author]; Dowd, Kevin [Other]
  • imprint: [S.l.]: SSRN, [2008]
  • Extent: 1 Online-Ressource (37 p)
  • Language: Not determined
  • DOI: 10.2139/ssrn.994506
  • Identifier:
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2005 erstellt
  • Description: This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of the return distributions for the Samp;P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts. It then uses tail estimators from these contracts to estimate spectral risk measures, which are coherent risk measures that reflect a user's risk-aversion function. It compares these to more familiar VaR and Expected Shortfall (ES) measures of risk, and also compares the precision and discusses the relative usefulness of each of these risk measures
  • Access State: Open Access