Exponential Spectral Risk Measures
AbstractSpectral 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1103.5409.
Date of creation: Mar 2011
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Web page: http://arxiv.org/
Other versions of this item:
- Kevin Dowd & John Cotter, 2007. "Exponential Spectral Risk Measures," The IUP Journal of Financial Economics, IUP Publications, IUP Publications, vol. 0(4), pages 57-66, December.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G0 - Financial Economics - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-09 (All new papers)
- NEP-BAN-2011-04-09 (Banking)
- NEP-RMG-2011-04-09 (Risk Management)
- NEP-UPT-2011-04-09 (Utility Models & Prospect Theory)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1505-1518, July.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 9(3), pages 203-228.
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