4 citations · 10 across the 17 of their papers we have counts for
13 papers · 1 filter
Financial Risks and the Pension Protection Fund: Can it Survive Them?
David Blake, John Cotter, Kevin Dowd
This paper discusses the financial risks faced by the UK Pension Protection Fund (PPF) and what, if anything, it can do about them. It draws lessons from the regulatory regimes und…
A Utility Based Approach to Energy Hedging
John Cotter, Jim Hanly
A key issue in the estimation of energy hedges is the hedgers' attitude towards risk which is encapsulated in the form of the hedgers' utility function. However, the literature typ…
Scaling conditional tail probability and quantile estimators
John Cotter
We present a novel procedure for scaling relatively high frequency tail probability and quantile estimates for the conditional distribution of returns.
Spectral Risk Measures and the Choice of Risk Aversion Function
kevin dowd, john cotter
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 gu…
Estimating financial risk measures for futures positions: a non-parametric approach
john cotter, kevin dowd
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 estima…
Evaluating the Precision of Estimators of Quantile-Based Risk Measures
Kevin Dowd, John Cotter
This paper examines the precision of estimators of Quantile-Based Risk Measures (Value at Risk, Expected Shortfall, Spectral Risk Measures). It first addresses the question of how…