Cotter, JOhn and Dowd, Kevin (2006): Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements. Published in: Journal of Banking and Finance , Vol. 30, (2006): pp. 3469-3485.
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This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme 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 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.
|Item Type:||MPRA Paper|
|Original Title:||Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements|
|Subjects:||G - Financial Economics > G0 - General > G00 - General
G - Financial Economics > G0 - General
|Depositing User:||John Cotter|
|Date Deposited:||13. Jun 2007|
|Last Modified:||21. Feb 2013 15:56|
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