Spectral Risk Measures: Properties and Limitations
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- Kevin Dowd & John Cotter & Ghulam Sorwar, 2008. "Spectral Risk Measures: Properties and Limitations," Journal of Financial Services Research, Springer;Western Finance Association, vol. 34(1), pages 61-75, August.
- Kevin Dowd & John Cotter & Ghulam Sorwar, 2010. "Spectral Risk Measures: Properties and Limitations," Working Papers 200839, Geary Institute, University College Dublin.
References listed on IDEAS
- Cotter, John & Dowd, Kevin, 2006.
"Extreme spectral risk measures: An application to futures clearinghouse margin requirements,"
Journal of Banking & Finance, Elsevier, vol. 30(12), pages 3469-3485, December.
- 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.
- Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
- Bertsimas, Dimitris & Lauprete, Geoffrey J. & Samarov, Alexander, 2004. "Shortfall as a risk measure: properties, optimization and applications," Journal of Economic Dynamics and Control, Elsevier, vol. 28(7), pages 1353-1381, April.
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JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2011-04-09 (Risk Management)
- NEP-UPT-2011-04-09 (Utility Models and Prospect Theory)
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