摘要翻译：
本文将极值广义帕累托分布应用于标准普尔500、FT100、DAX、恒生和日经225期货合约收益率分布的极值尾部。然后，它使用来自这些合同的尾部估计器来估计谱风险度量，谱风险度量是反映用户风险厌恶函数的相干风险度量。它将这些与VaR和预期缺口(ES)风险度量进行了比较，并比较了它们的估计量的精度。本文还讨论了这些风险度量在清算所设定初始保证金要求的情况下的有用性，并将其与通常使用的跨度度量进行了比较。关键词：光谱风险度量，预期缺口，风险价值，极值
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英文标题：
《Extreme Spectral Risk Measures: An Application to Futures Clearinghouse
  Margin Requirements》
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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 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 futures contracts. It then uses tail estimators from these contracts to estimate spectral risk measures, which are coherent risk measures that reflect a user's risk-aversion function. It compares these to VaR and Expected Shortfall (ES) risk measures, and compares the precision of their estimators. It also discusses the usefulness of these risk measures in the context of clearinghouses setting initial margin requirements, and compares these to the SPAN measures typically used. Keywords: Spectral risk measures, Expected Shortfall, Value at Risk, Extreme Value
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PDF链接：
https://arxiv.org/pdf/1103.5653