Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements

John Cotter and Kevin Dowd ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts. It then uses tail estimators from these contracts to estimate spectral risk measures, which are coherent risk measures that reflect a user’s risk-aversion function. It compares these to more familiar VaR and Expected Shortfall (ES) measures of risk, and also compares the precision and discusses the relative usefulness of each of these risk measures.

JEL-codes: G0 G00 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (39)

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https://mpra.ub.uni-muenchen.de/3505/1/MPRA_paper_3505.pdf original version (application/pdf)

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)
Journal Article: Extreme spectral risk measures: An application to futures clearinghouse margin requirements (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:3505

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