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Exponential Spectral Risk Measures

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arxiv 1103.5409 v1 pith:K2PS3OFE submitted 2011-03-28 q-fin.RM q-fin.ST

Kevin Dowd , John Cotter This is my paper · ORCID
classification q-fin.RMq-fin.ST
keywords measuresriskspectralestimatedexponentialmethodstheyallow
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Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on an exponential utility function, and finds that these risk measures have nice intuitive properties. It also discusses how they can be estimated using numerical quadrature methods, and how confidence intervals for them can be estimated using a parametric bootstrap. Illustrative results suggest that estimated exponential spectral risk measures obtained using such methods are quite precise in the presence of normally distributed losses.

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    Policies trained under stationary latent ambiguity, implemented by refreshing the latent parameter, preserve robustness to regime shifts better than policies trained under a fixed latent draw.

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