paper
Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements
John Cotter, Kevin Dowd
Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements
John Cotter, Kevin Dowd
Paper2011-03-28English
risk managementarxiv
Description
This paper applies an AR(1)-GARCH (1, 1) process to detail the conditional distributions of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts. It then uses the conditional distribution for 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...
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