• Corpus ID: 154011532

Spectral Risk Measures and the Choice of Risk Aversion Function

@article{Dowd2007SpectralRM,
  title={Spectral Risk Measures and the Choice of Risk Aversion Function},
  author={Kevin Dowd and John Cotter},
  journal={arXiv: Risk Management},
  year={2007}
}
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their risk-aversion functions. To date there has been very little guidance on the choice of risk-aversion functions underlying spectral risk measures. This paper addresses this issue by examining two popular risk aversion functions, based on exponential and power utility functions respectively. We find that the former yields spectral risk measures with nice intuitive properties, but… 

Figures and Tables from this paper

Calibration and Comparison of Spectral Risk Measures for a Practical Implementation

This paper proposes a methodology to both calibrate and compare spectral risk measures (SRM) based on concepts of relative entropy optimization allowing us to build a data-implied distortion as a reference measure for calibration and define an entropic risk measure that is used for comparison.

A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy

Risk measures for tail risk have an important application in the dynamic portfolio insurance strategies. We propose a new risk measure called SlideVaR which overcome the limitation of traditional

References

SHOWING 1-9 OF 9 REFERENCES

Spectral Measures of Risk : a Coherent Representation of Subjective Risk Aversion

We study a space of coherent risk measuresMφ obtained as certain expansions of coherent elementary basis measures. In this space, the concept of “Risk Aversion Function” φ naturally arises as the

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

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

OPTIMAL, RULES FOR ORDERING UNCERTAIN PROSPECTS+

Measuring Market Risk

Preface to the Second EditionAcknowledgements1 The Rise of Value at Risk1.1 The emergence of financial risk management1.2 Market risk management1.3 Risk management before VaR1.4 Value at riskAppendix

Mean-Risk Analysis with Risk Associated with Below-Target Returns

Applied Computational Economics and Finance, Cambridge, MA and London: MIT

  • Measures of Risk, Journal of Banking & Finance,
  • 2002

Thinking coherently, Risk, 10 (November), 68-71

  • 1997

Upgrading value-at-risk from diagnostic metric to decision variable: a wise thing to do?

  • 2004