4 citations · 8 across the 17 of their papers we have counts for
20 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…
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…
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.
Extreme Measures of Agricultural Financial Risk
John Cotter, Kevin Dowd, Wyn Morgan
Risk is an inherent feature of agricultural production and marketing and accurate measurement of it helps inform more efficient use of resources. This paper examines three tail qua…