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Exponential Spectral Risk Measures

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Author Info
Cotter, John
Dowd, Kevin

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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.

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File URL: http://mpra.ub.uni-muenchen.de/3499/
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 3499.

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Date of creation: 2007
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Handle: RePEc:pra:mprapa:3499

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Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G0 - Financial Economics - - General

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  1. 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. [Downloadable!] (restricted)
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This page was last updated on 2009-11-28.

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