Working Paper


Kevin Dowd
John Cotter



extreme value theory risk econometric models g15 expected shortfall clearinghouse clearinghouses banking spectral risk measures extreme value value at risk

Extreme spectral risk measures : an application to futures clearinghouse margin requirements (2005)

Abstract 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.
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Full list of authors on original publication

Kevin Dowd, John Cotter

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John Cotter
University College Dublin
Total Publications: 93