Do coherent risk measures identify assets risk profiles similarly? Evidence from international futures markets
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 va...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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LLC "CPC "Business Perspectives"
2017-11-01
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| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/9559/imfi_2017_03cont2_Mozumder.pdf |
| _version_ | 1826909529813549056 |
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| author | Sharif Mozumder M. Humayun Kabir Michael Dempsey |
| author_facet | Sharif Mozumder M. Humayun Kabir Michael Dempsey |
| author_sort | Sharif Mozumder |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-18T14:05:32Z |
| format | Article |
| id | doaj.art-61ba25d3874649fd9f6649ae8c2ab4fc |
| institution | Directory Open Access Journal |
| issn | 1810-4967 1812-9358 |
| language | English |
| last_indexed | 2025-02-17T09:42:24Z |
| publishDate | 2017-11-01 |
| publisher | LLC "CPC "Business Perspectives" |
| record_format | Article |
| series | Investment Management & Financial Innovations |
| spelling | doaj.art-61ba25d3874649fd9f6649ae8c2ab4fc2025-01-02T07:42:19ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations1810-49671812-93582017-11-0114336138010.21511/imfi.14(3-2).2017.079559Do coherent risk measures identify assets risk profiles similarly? Evidence from international futures marketsSharif Mozumder0M. Humayun Kabir1Michael Dempsey2Senior Lecturer, Department of Mathematics, University of DhakaSenior Lecturer, School of Economics and Finance, Massey UniversityProfessor, Faculty of Finance and Banking, Ton Duc Thang University, Ho Chi Minh CityThe 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.https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/9559/imfi_2017_03cont2_Mozumder.pdfexpected shortfallextreme valuegeneralized hyperbolic distributionsLévy-Khintchine formulaspectral risk measures |
| spellingShingle | Sharif Mozumder M. Humayun Kabir Michael Dempsey Do coherent risk measures identify assets risk profiles similarly? Evidence from international futures markets Investment Management & Financial Innovations expected shortfall extreme value generalized hyperbolic distributions Lévy-Khintchine formula spectral risk measures |
| title | Do coherent risk measures identify assets risk profiles similarly? Evidence from international futures markets |
| title_full | Do coherent risk measures identify assets risk profiles similarly? Evidence from international futures markets |
| title_fullStr | Do coherent risk measures identify assets risk profiles similarly? Evidence from international futures markets |
| title_full_unstemmed | Do coherent risk measures identify assets risk profiles similarly? Evidence from international futures markets |
| title_short | Do coherent risk measures identify assets risk profiles similarly? Evidence from international futures markets |
| title_sort | do coherent risk measures identify assets risk profiles similarly evidence from international futures markets |
| topic | expected shortfall extreme value generalized hyperbolic distributions Lévy-Khintchine formula spectral risk measures |
| url | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/9559/imfi_2017_03cont2_Mozumder.pdf |
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