Estimating financial risk measures for futures positions : a non-parametric approach
|Title:||Estimating financial risk measures for futures positions : a non-parametric approach||Authors:||Cotter, John
|Permanent link:||http://hdl.handle.net/10197/1172||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
|Other versions:||http://www.ucd.ie/bankingfinance/docs/wp/WP-07-14.pdf||Language:||en||Status of Item:||Not peer reviewed|
|Appears in Collections:||Centre for Financial Markets Working Papers|
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