Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements

  title={Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements},
  author={John Cotter and Kevin Dowd},
  journal={Capital Markets: Asset Pricing \& Valuation eJournal},
  • J. CotterK. Dowd
  • Published 31 October 2006
  • Economics
  • Capital Markets: Asset Pricing & Valuation eJournal
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… 

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