Type

Working Paper

Authors

Kevin Dowd
John Cotter

Subjects

Business

Topics
value at risk risk measures g15 risk econometric models futures econometric models financial risk risk aversion spectral risk measures

Estimating financial risk measures for futures positions : a non-parametric approach (2006)

Abstract This paper presents non-parametric estimates of spectral risk measures applied to long and short positions in 5 prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, the Value-at-Risk (VaR) and Expected Shortfall (ES). The spectral risk measures are conditioned on the coefficient of absolute risk aversion, and the latter two are conditioned on the confidence level. Our findings indicate that all risk measures increase dramatically and their estimatorsdeteriorate in precision when their respective conditioning parameter increases.Results also suggest that estimates of spectral risk measures and their precision levels are of comparable orders of magnitude as those of more conventional risk measures.
Collections Ireland -> University College Dublin -> School of Business
Ireland -> University College Dublin -> Centre for Financial Markets Working Papers
Ireland -> University College Dublin -> College of Business

Full list of authors on original publication

Kevin Dowd, John Cotter

Experts in our system

1
John Cotter
University College Dublin
Total Publications: 93