Do coherent risk measures identify assets risk profiles similarly? Evidence from international futures markets
| Autor: | M. Humayun Kabir, Michael Dempsey, Sharif Mozumder |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: |
Economics and Econometrics
Index (economics) Strategy and Management Scopus spectral risk measures generalized hyperbolic distributions Risk profile extreme value 0502 economics and business lcsh:Finance lcsh:HG1-9999 Economics Business and International Management Publication 040101 forestry 050208 finance Actuarial science business.industry 05 social sciences Lévy-Khintchine formula 04 agricultural and veterinary sciences International Futures expected shortfall 0401 agriculture forestry and fisheries business Finance |
| Zdroj: | Investment Management & Financial Innovations, Vol 14, Iss 3, Pp 361-380 (2017) |
| ISSN: | 1812-9358 1810-4967 |
| Popis: | The authors consider Lévy processes with conditional distributions belonging to a generalized hyperbolic family and compare and contrast full density-based Lévy-expected shortfall (ES) risk measures and Lévy-spectral risk measures (SRM) with those of a traditional tail-based unconditional extreme value (EV) approach. Using the futures data of leading markets the authors find that ES and SRM often differ in recognizing the risk profiles of different assets. While EV (extreme value) is often found to be more consistent than Lévy models, Lévy measures often perform better than EV measures when compared with empirical values. This becomes increasingly apparent as investors become more risk averse. |
| Databáze: | OpenAIRE |
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