4 citations · 8 across the 16 of their papers we have counts for
30 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…
Absolute Return Volatility
John Cotter
The use of absolute return volatility has many modelling benefits says John Cotter. An illustration is given for the market risk measure, minimum capital requirements.
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…
Housing risk and return: Evidence from a housing asset-pricing model
Karl Case, John Cotter, Stuart Gabriel
This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller…
Time Varying Risk Aversion: An Application to Energy Hedging
John Cotter, Jim Hanly
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GA…
Hedging: Scaling and the Investor Horizon
John Cotter, Jim Hanly
This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We exam…