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Browsing by Author "Dowd, Kevin"

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Clearinghouses and margin setting with different risk measures

Cotter, John ; Dowd, Kevin (Centre of Economic and International Studies, 2005)
Estimating financial risk measures for futures positions : a non-parametric approach

Cotter, John ; Dowd, Kevin (University College Dublin. School of Business. Centre for Financial Markets, 2006-12-23)

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

Cotter, John ; Dowd, Kevin (Wiley, 2009)

This study presents nonparametric estimates of spectral risk measures (SRM) applied to long and short positions in five prominent equity futures contracts. It also compares these to estimates of two popular alternative ...
Evaluating the precision of estimators of quantile-based risk measures

Dowd, Kevin ; Cotter, John (University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2007-05)

This paper examines the precision of estimators of Quantile-Based Risk Measures (Value at Risk, Expected Shortfall, Spectral Risk Measures). It first addresses the question of how to estimate the precision of these ...
Exponential spectral risk measures

Dowd, Kevin ; Cotter, John (University College Dublin. School of Business. Centre for Financial Markets, 2007-03-20)

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 ...
Exponential spectral risk measures

Dowd, Kevin ; Cotter, John (Icfai University Press, 2007-12)

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 ...
Extreme global equity market risk

Cotter, John ; Dowd, Kevin (Palgrave Macmillan, 2011-11)

Extreme asset price movements appear to be more pronounced over time and have major consequences for an economy’s financial stability and monetary policies. This article investigates the extreme behaviour of equity market ...
Extreme measures of agricultural financial risk

Cotter, John ; Dowd, Kevin ; Morgan, Wyn (University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2008-10-06)

Risk is an inherent feature of agricultural production and marketing and accurate measurement of it helps inform more efficient use of resources. This paper examines three tail quantile-based risk measures applied to the ...
Extreme spectral risk measures : an application to futures clearinghouse margin requirements

Cotter, John ; Dowd, Kevin (Elsevier Science, 2006-12)

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 ...
Extreme spectral risk measures : an application to futures clearinghouse margin requirements

Cotter, John ; Dowd, Kevin (University College Dublin. School of Business. Centre for Financial Markets, 2005-12-14)

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 ...
Financial risks and the Pension Protection Fund : can it survive them?

Blake, David ; Cotter, John ; Dowd, Kevin (Palgrave Macmillan, 2007)

This paper discusses the financial risks faced by the UK Pension Protection Fund (PPF) and what, if anything, it can do about them. It draws lessons from the regulatory regimes under which other financial institutions, ...
Financial risks and the Pension Protection Fund : can it survive them?

Blake, David ; Cotter, John ; Dowd, Kevin (University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2006-11)

This paper discusses the financial risks faced by the UK Pension Protection Fund (PPF) and what, if anything, it can do about them. It draws lessons from the regulatory regimes under which other financial institutions, ...
How unlucky is 25-Sigma?

Dowd, Kevin ; Cotter, John ; Humphrey, Christopher ; Woods, Margaret (Euromoney Institutional Investor, 2008)

This article examines the likelihood of high-sigma loss events, paying particular attention to the so-called 25-sigma events which a number of financial institutions have allegedly experienced in the recent financial ...
How unlucky is 25-Sigma?

Dowd, Kevin ; Cotter, John ; Humphrey, Christopher ; Woods, Margaret (University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2008-03-24)
Intra-day seasonality in foreign exchange market transactions

Cotter, John ; Dowd, Kevin (Elsevier, 2010-04)

This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic inter-dealer ...
Intra-day seasonality in foreign exchange market transactions

Cotter, John ; Dowd, Kevin (University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2007-05-18)

This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic ...
Quantile-based tail risk estimation for equity portfolios

Cotter, John ; Dowd, Kevin (McGraw-Hill, 2009)
Spectral risk measures and the choice of risk aversion functior

Dowd, Kevin ; Cotter, John (University College Dublin. School of Business. Centre for Financial Markets, 2007-03-11)

Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their risk-aversion functions. To date there has been very little guidance on the choice of risk-aversion ...
Spectral risk measures : properties and limitations

Dowd, Kevin ; Cotter, John ; Sorwar, Ghulam (Springer, 2008-08)

Spectral risk measures (SRMs) are risk measures that take account of user risk-aversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by ...
Spectral risk measures : properties and limitations

Dowd, Kevin ; Cotter, John ; Sorwar, Ghulam (University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2008-04-18)

Spectral risk measures (SRMs) are risk measures that take account of user risk aversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by ...