Estimating financial risk measures for futures positions: a non-parametric approach
AbstractThis 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. Running head: financial risk measures for futures positions
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1103.5666.
Date of creation: Mar 2011
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Web page: http://arxiv.org/
Other versions of this item:
- Cotter, John & Dowd, Kevin, 2007. "Estimating financial risk measures for futures positions: a non-parametric approach," MPRA Paper 3503, University Library of Munich, Germany.
- John Cotter & Kevin Dowd, 2011. "Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach," Working Papers 200613, Geary Institute, University College Dublin.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G00 - Financial Economics - - General - - - 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-FMK-2011-04-09 (Financial Markets)
- NEP-RMG-2011-04-09 (Risk Management)
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.:
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