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

John Cotter and Kevin Dowd

Centre for Financial Markets Working Papers from Research Repository, University College Dublin

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.

Keywords: Risk--Econometric models; Futures--Econometric models (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2006-12
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http://hdl.handle.net/10197/1172 First version, 2006 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:rru:cfmwps:10197/1172

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