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Extreme spectral risk measures : an application to futures clearinghouse margin requirements
Author(s)
Date Issued
2005-12-14
Date Available
2009-06-11T13:47:06Z
Abstract
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 from these contracts to
estimate spectral risk measures, which are coherent risk measures that reflect a user’s
risk-aversion function. It compares these to VaR and Expected Shortfall (ES) risk
measures, and compares the precision of their estimators. It also discusses the
usefulness of these risk measures in the context of clearinghouses setting initial
margin requirements, and compares these to the SPAN measures typically used.
Sponsorship
University College Dublin Faculty of Commerce; Economic and Social Research Council
Type of Material
Working Paper
Publisher
University College Dublin. School of Business. Centre for Financial Markets
Series
Centre for Financial Markets working paper series
WP-06-02
Copyright (Published Version)
2005, Centre for Financial Markets
Classification
G15
Subject – LCSH
Clearinghouses (Banking)
Extreme value theory
Risk--Econometric models
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
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