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. 34693485.

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Abstract
This paper applies the ExtremeValue (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 riskaversion 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 
Language:  English 
Subjects:  G  Financial Economics > G0  General > G00  General G  Financial Economics > G0  General 
Item ID:  3505 
Depositing User:  John Cotter 
Date Deposited:  13. Jun 2007 
Last Modified:  21. Feb 2013 15:56 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/3505 