4 citations · 8 across the 18 of their papers we have counts for
20 papers · 2 filters
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…
Spectral Risk Measures: Properties and Limitations
Kevin Dowd, John Cotter, Ghulam Sorwar
Spectral risk measures (SRMs) are risk measures that take account of user riskaversion, but to date there has been little guidance on the choice of utility function underlying them…
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…
Modelling catastrophic risk in international equity markets: An extreme value approach
john cotter
This letter uses the Block Maxima Extreme Value approach to quantify catastrophic risk in international equity markets. Risk measures are generated from a set threshold of the dist…
Implied correlation from VaR
John Cotter, François Longin
Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR cal…
Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements
John Cotter, Kevin Dowd
This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futu…
Varying the VaR for Unconditional and Conditional Environments
John Cotter
Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from twelve European bourses, this paper presents VaR measur…
Tail Behaviour of the Euro
John Cotter
This paper empirically analyses risk in the Euro relative to other currencies. Comparisons are made between a sub period encompassing the final transitional stage to full monetary…
Minimum Capital Requirement Calculations for UK Futures
John Cotter
Key to the imposition of appropriate minimum capital requirements on a daily basis requires accurate volatility estimation. Here, measures are presented based on discrete estimatio…
Margin setting with high-frequency data1
John Cotter, François Longin
Both in practice and in the academic literature, models for setting margin requirements in futures markets classically use daily closing price changes. However, as well documented…
Exponential Spectral Risk Measures
Kevin Dowd, John Cotter
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk-aversion. This paper examines spectral risk me…
Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements
John Cotter, Kevin Dowd
This paper applies an AR(1)-GARCH (1, 1) process to detail the conditional distributions of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures co…
An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition
Thomas Conlon, John Cotter
This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to cal…