摘要翻译：
本文给出了应用于5个主要股票期货合约的多空头寸的谱风险测度的非参数估计。它还将这些数据与两种流行的替代度量方法，即风险价值（VaR）和预期缺口(ES)的估计进行了比较。谱风险测度以绝对风险厌恶系数为条件，后两者以置信度为条件。我们的研究结果表明，当它们各自的条件参数增加时，所有的风险测度都急剧增加，它们的估计量在精度上恶化。结果还表明，光谱风险测度的估计及其精度水平与更传统的风险测度的估计具有相当的数量级。运行头部：期货头寸的财务风险度量
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英文标题：
《Estimating financial risk measures for futures positions: a
  non-parametric approach》
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作者：
john cotter and kevin dowd
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  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 estimates of two popular alternative measures, the Value-at-Risk (VaR) and Expected Shortfall (ES). The spectral risk measures are conditioned on the coefficient of absolute risk aversion, and the latter two are conditioned on the confidence level. Our findings indicate that all risk measures increase dramatically and their estimators deteriorate in precision when their respective conditioning parameter increases. Results also suggest that estimates of spectral risk measures and their precision levels are of comparable orders of magnitude as those of more conventional risk measures. Running head: financial risk measures for futures positions
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PDF链接：
https://arxiv.org/pdf/1103.5666