Estimating financial risk measures for futures positions: a non-parametric approach

Details Estimating financial risk measures for futures positions: a non-parametric approach Estimating financial risk measures for futures positions: a non-parametric approach

2011-03-29

arxiv.org/abs/1103.5666v1

Economy

Quantitative Finance

Risk Management

Scientific paper

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

Affiliated with

Also associated with

No associations

Rating

Estimating financial risk measures for futures positions: a non-parametric approach does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Estimating financial risk measures for futures positions: a non-parametric approach, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Estimating financial risk measures for futures positions: a non-parametric approach will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-163546