This paper applies the Extreme-Value (EV) Generalised Pareto distribution to theextreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng,and Nikkei225 futures contracts. It then uses tail estimators from these contracts toestimate spectral risk measures, which are coherent risk measures that reflect a user’srisk-aversion function. It compares these to VaR and Expected Shortfall (ES) riskmeasures, and compares the precision of their estimators. It also discusses theusefulness of these risk measures in the context of clearinghouses setting initialmargin requirements, and compares these to the SPAN measures typically used.
Ireland ->
University College Dublin ->
School of Business
Ireland ->
University College Dublin ->
Centre for Financial Markets Working Papers
Ireland ->
University College Dublin ->
College of Business
