Exponential Spectral Risk Measures

Kevin Dowd and John Cotter

Papers from arXiv.org

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.

Date: 2011-03
New Economics Papers: this item is included in nep-ban, nep-rmg and nep-upt
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http://arxiv.org/pdf/1103.5409 Latest version (application/pdf)

Related works:
Journal Article: Exponential Spectral Risk Measures (2007)
Working Paper: Exponential Spectral Risk Measures (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1103.5409

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