Browse by Authors

2006

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.

Cotter, John and Blake, David and Dowd, Kevin (2006): Financial Risks and the Pension Protection Fund: Can it Survive Them?

Cotter, John and Dowd, Kevin (2006): Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements.

Cotter, John and Dowd, Kevin (2006): U.S. Core Inflation: A Wavelet Analysis.

2007

Cotter, John and Dowd, Kevin (2007): Estimating financial risk measures for futures positions: a non-parametric approach.

Cotter, John and Dowd, Kevin (2007): Evaluating the Precision of Estimators of Quantile-Based Risk Measures.

Cotter, John and Dowd, Kevin (2007): Exponential Spectral Risk Measures.

Cotter, John and Dowd, Kevin (2007): Intra-Day Seasonality in Foreign Exchange Market Transactions.

Cotter, John and Dowd, Kevin (2007): The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders.

April 2008

Blake, David and Cairns, Andrew and Dowd, Kevin (2008): Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers.

2011

Coughlan, Guy and Khalaf-Allah, Marwa and Ye, Yijing and Kumar, Sumit and Cairns, Andrew and Blake, David and Dowd, Kevin (2011): Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness. Published in: North American Actuarial Journal , Vol. 15, No. 2 (2011): pp. 150-176.

Dowd, Kevin and Cairns, Andrew and Blake, David and Coughlan, Guy and Khalaf-Allah, Marwa (2011): A gravity model of mortality rates for two related populations. Published in: North American Actuarial Journal , Vol. 15, No. 2 (2011)

May 2011

Cairns, Andrew and Dowd, Kevin and Blake, David and Coughlan, Guy (2011): Longevity hedge effectiveness: a decomposition.