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Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements
Spectral risk measures Expected Shortfall Value at Risk Extreme Value clearinghouse
2011/3/31
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.