Exponential Spectral Risk Measures

John Cotter and Kevin Dowd ()

MPRA Paper from University Library of Munich, Germany

Abstract: Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on an exponential utility function, and finds that these risk measures have nice intuitive properties. It also discusses how they can be estimated using numerical quadrature methods, and how confidence intervals for them can be estimated using a parametric bootstrap. Illustrative results suggest that estimated exponential spectral risk measures obtained using such methods are quite precise in the presence of normally distributed losses.

JEL-codes: G0 G10 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-bec, nep-ets, nep-rmg and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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https://mpra.ub.uni-muenchen.de/3499/1/MPRA_paper_3499.pdf original version (application/pdf)

Related works:
Working Paper: Exponential Spectral Risk Measures (2011)
Journal Article: Exponential Spectral Risk Measures (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:3499

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