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

John Cotter and Kevin Dowd ()

MPRA Paper from University Library of Munich, Germany

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 estimators deteriorate 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. Running head: financial risk measures for futures positions.

JEL-codes: G00 G10 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-ets and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Estimating financial risk measures for futures positions: a non-parametric approach (2011)
Working Paper: Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach (2011)
Journal Article: Estimating financial risk measures for futures positions: A nonparametric approach (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:3503

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