Browsing by Subject "Value at Risk"

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  • 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 ...
  • Cotter, John ; Hanly, Jim (University College Dublin. School of Business. Centre for Financial Markets, 2007)
    We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts. ...
  • Cotter, John ; Longin, François (University College Dublin. School of Business. Centre for Financial Markets, 2006)
    Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical results using US and ...
  • Cotter, John (University College Dublin. School of Business. Centre for Financial Markets, 2004)
    Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from twelve European bourses, this paper presents VaR measures based on their unconditional and ...
  • Cotter, John (Elsevier Science, 2007-12)
    Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from 12 European bourses, this paper presents VaR measures based on their unconditional and conditional ...