Evaluating the Precision of Estimators of Quantile-Based Risk Measures
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- John Cotter & Kevin Dowd, 2011. "Evaluating the Precision of Estimators of Quantile-Based Risk Measures," Working Papers 200743, Geary Institute, University College Dublin.
- Kevin Dowd & John Cotter, 2011. "Evaluating the Precision of Estimators of Quantile-Based Risk Measures," Papers 1103.5665, arXiv.org.
References listed on IDEAS
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- Cotter, John & Dowd, Kevin, 2006.
"Extreme spectral risk measures: An application to futures clearinghouse margin requirements,"
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- Cotter, JOhn & Dowd, Kevin, 2006. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," MPRA Paper 3505, University Library of Munich, Germany.
- John Cotter & Kevin Dowd, 2011. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," Papers 1103.5653, arXiv.org.
- John Cotter & Kevin Dowd, 2011. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," Working Papers 200516, Geary Institute, University College Dublin.
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Citations
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Cited by:
- Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524.
- Wächter, Hans Peter & Mazzoni, Thomas, 2013. "Consistent modeling of risk averse behavior with spectral risk measures," European Journal of Operational Research, Elsevier, vol. 229(2), pages 487-495.
More about this item
JEL classification:
- G00 - Financial Economics - - General - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2007-06-18 (Econometrics)
- NEP-RMG-2007-06-18 (Risk Management)
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