Extreme spectral risk measures: An application to futures clearinghouse margin requirements

John Cotter and Kevin Dowd ()

Journal of Banking & Finance, 2006, vol. 30, issue 12, 3469-3485

Date: 2006
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Citations: View citations in EconPapers (44)

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Related works:
Working Paper: Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements (2011)
Working Paper: Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements (2011)
Working Paper: Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements (2006)
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