Extreme spectral risk measures : an application to futures clearinghouse margin requirements

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Title: Extreme spectral risk measures : an application to futures clearinghouse margin requirements
Authors: Cotter, John
Dowd, Kevin
Permanent link: http://hdl.handle.net/10197/1169
Date: 14-Dec-2005
Online since: 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.
Funding Details: 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/Report no.: Centre for Financial Markets working paper series; WP-06-02
Copyright (published version): 2005, Centre for Financial Markets
Keywords: Spectral risk measuresExpected shortfallValue at riskExtreme valueClearinghouse
Subject LCSH: Clearinghouses (Banking)
Extreme value theory
Risk--Econometric models
Other versions: http://www.ucd.ie/bankingfinance/docs/wp/wp0602.pdf
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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