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Search Results for Collection: Business Research Collection
Now showing items 1-9 of 9
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(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, ...
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(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 ...
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(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 ...
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(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 ...
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(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 ...
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(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 ...
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(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 ...
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(McGraw-Hill, 2009)
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(Centre of Economic and International Studies, 2005)
Now showing items 1-9 of 9