Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach
This 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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| Length: | 27 pages |
| Date of creation: | 24 Jun 2011 |
| Date of revision: | |
| Handle: | RePEc:ucd:wpaper:2006/13 |
| Contact details of provider: | Postal: Phone: +353 1 7164615 Fax: +353 1 7161108 Web page: http://www.ucd.ie/geary/Email: More information through EDIRC
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- Cotter, John & Dowd, Kevin, 2006.
"Extreme spectral risk measures: An application to futures clearinghouse margin requirements,"
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- 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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