Extreme spectral risk measures: An application to futures clearinghouse margin requirements

Journal of Banking and Finance

Volumn 30, Issue 12, 2006, Pages 3469-3485

  Cotter, John ^a   Dowd, Kevin ^b  

^a UNIVERSITY COLLEGE DUBLIN   (Ireland)

^b UNIVERSITY OF NOTTINGHAM   (United Kingdom)

Author keywords

Clearinghouse; Expected shortfall; Extreme value; Spectral risk measures; Value at risk

Indexed keywords

EID: 33750848766     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2006.01.008     Document Type: Article

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