4 citations · 7 across the 10 of their papers we have counts for
14 papers
Arbitrage Problems with Reflected Geometric Brownian Motion
Dean Buckner, Kevin Dowd, Hardy Hulley
Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free.…
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…
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…
How Unlucky is 25-Sigma?
Kevin Dowd, John Cotter, Chris Humphrey +1
One of the more memorable moments of last summer's credit crunch came when the CFO of Goldman Sachs, David Viniar, announced in August that Goldman's flagship GEO hedge fund had lo…
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…