Browsing Business Research Collection by Author "Dowd, Kevin"

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Browsing Business Research Collection by Author "Dowd, Kevin"

Now showing items 1-10 of 10

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 (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 ...
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 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 ...
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, ...
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 ...
Quantile-based tail risk estimation for equity portfolios

Cotter, John ; Dowd, Kevin (McGraw-Hill, 2009)
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 ...
The tail risks of FX return distributions : a comparison of the returns associated with limit orders and market orders

Cotter, John ; Dowd, Kevin (Elsevier, 2007-09)

This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electronic broking system based on completed ...
U.S. core inflation : a wavelet analysis

Cotter, John ; Dowd, Kevin ; Loh, Lixia (Cambridge Journals, 2010-06)

This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI-based and regression-based ...