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

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Show simple item record Cotter, John Dowd, Kevin 2009-06-11T14:16:06Z 2009-06-11T14:16:06Z 2006, Centre for Financial Markets en 2006-12-23
dc.description.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. en
dc.description.sponsorship University College Dublin Faculty of Commerce; Economic and Social Research Council en
dc.format.extent 130913 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher University College Dublin. School of Business. Centre for Financial Markets en
dc.relation.ispartofseries Centre for Financial Markets working paper series en
dc.relation.ispartofseries WP-07-14 en
dc.subject.classification G15 en
dc.subject.lcsh Risk--Econometric models en
dc.subject.lcsh Futures--Econometric models en
dc.title Estimating financial risk measures for futures positions : a non-parametric approach en
dc.type Working Paper en
dc.internal.authorid UCD0043
dc.internal.availability Full text available en
dc.internal.webversions en
dc.status Not peer reviewed en
dc.neeo.contributor Cotter|John|aut|UCD0043
dc.neeo.contributor Dowd|Kevin|aut|

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