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

John Cotter and Kevin Dowd

Papers from arXiv.org

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

Date: 2011-03
New Economics Papers: this item is included in nep-ban, nep-fmk and nep-rmg
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http://arxiv.org/pdf/1103.5666 Latest version (application/pdf)

Related works:
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)
Working Paper: Estimating financial risk measures for futures positions: a non-parametric approach (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1103.5666

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