Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach
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Other versions of this item:
- John Cotter & Kevin Dowd, 2010. "Estimating financial risk measures for futures positions: A nonparametric approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(7), pages 689-703, July.
- john cotter & kevin dowd, 2011. "Estimating financial risk measures for futures positions: a non-parametric approach," Papers 1103.5666, arXiv.org.
- Cotter, John & Dowd, Kevin, 2007. "Estimating financial risk measures for futures positions: a non-parametric approach," MPRA Paper 3503, University Library of Munich, Germany.
References listed on IDEAS
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- Cotter, John & Dowd, Kevin, 2006.
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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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- John Cotter, 2011. "Minimum Capital Requirement Calculations for UK Futures," Papers 1103.5416, arXiv.org.
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Citations
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Cited by:
- Mitra, Sovan, 2017. "Efficient option risk measurement with reduced model risk," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 163-174.
- Mario Brandtner, 2016. "“Spectral Risk Measures: Properties and Limitations”: Comment on Dowd, Cotter, and Sorwar," Journal of Financial Services Research, Springer;Western Finance Association, vol. 49(1), pages 121-131, February.
- Brandtner, Mario & Kürsten, Wolfgang, 2015. "Decision making with Expected Shortfall and spectral risk measures: The problem of comparative risk aversion," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 268-280.
- 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.
- Mario Brandtner, 2016. "Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke," Management Review Quarterly, Springer;Vienna University of Economics and Business, vol. 66(2), pages 75-115, April.
More about this item
JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2011-07-02 (All new papers)
- NEP-RMG-2011-07-02 (Risk Management)
- NEP-UPT-2011-07-02 (Utility Models & Prospect Theory)
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