Exponential spectral risk measures

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Title: Exponential spectral risk measures
Authors: Dowd, Kevin
Cotter, John
Permanent link: http://hdl.handle.net/10197/1195
Date: 20-Mar-2007
Abstract: 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 function, and finds that these risk measures have nice intuitive properties. It also discusses how they can be estimated using numerical quadrature methods, and how confidence intervals for them can be estimated using a parametric bootstrap. Illustrative results suggest that estimated exponential spectral risk measures obtained using such methods are quite precise in the presence of normally distributed losses.
Funding Details: University College Dublin. School of Business
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-07-06
Copyright (published version): 2007, Centre for Financial Markets
Keywords: Spectral risk measuresRisk aversion functionsExponential utility functionParametric bootstrap
Subject LCSH: Risk--Econometric models
Utility theory--Mathematical models
Bootstrap (Statistics)
Other versions: http://www.ucd.ie/bankingfinance/docs/wp/cotter%20dowd%20esrms%20wp%2007%2006.pdf
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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