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Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements

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Author Info
Cotter, JOhn
Dowd, Kevin

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Abstract

This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts. It then uses tail estimators from these contracts to estimate spectral risk measures, which are coherent risk measures that reflect a user’s risk-aversion function. It compares these to more familiar VaR and Expected Shortfall (ES) measures of risk, and also compares the precision and discusses the relative usefulness of each of these risk measures.

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File URL: http://mpra.ub.uni-muenchen.de/3505/
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 3505.

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Date of creation: 2006
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Handle: RePEc:pra:mprapa:3505

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Find related papers by JEL classification:
G00 - Financial Economics - - General - - - General
G0 - Financial Economics - - General

Cited by:
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  1. Douglas D. Evanoff & Daniela Russo & Robert Steigerwald, 2006. "Policymakers, researchers, and practitioners discuss the role of central counterparties," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q IV, pages 2-21. [Downloadable!]
  2. Cotter, John, 2007. "Extreme risk in Asian equity markets," MPRA Paper 3536, University Library of Munich, Germany. [Downloadable!]
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This page was last updated on 2008-11-17.

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