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

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Title: Estimating financial risk measures for futures positions : a non-parametric approach
Authors: Cotter, John
Dowd, Kevin
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Date: 23-Dec-2006
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.
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-07-14
Copyright (published version): 2006, Centre for Financial Markets
Subject LCSH: Risk--Econometric models
Futures--Econometric models
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Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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