4 citations · 7 across the 9 of their papers we have counts for
9 papers
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…
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…
The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders
john cotter, kevin dowd
This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electro…
U.S. Core Inflation: A Wavelet Analysis
kevin dowd, john cotter
This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made…