标题： 谱风险度量及其在期货清算所变动保证金要求中的应用 显示英文标题

标题： Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements

摘要： 本文应用AR(1)-GARCH (1, 1)过程来详细描述S&P500、FT100、DAX、恒生和日经225期货合约收益分布的条件分布。 然后利用这些合约的条件分布来估计谱风险度量，这些是反映用户风险厌恶函数的一致性风险度量。 它将这些度量与更熟悉的VaR和预期短缺（ES）风险度量进行比较，并且还比较了精确度并讨论了这些风险度量在考虑时变市场条件的变动保证金设定中的相对实用性。 通过多种回测验证了模型的拟合优度。 显示英文摘要

摘要： This paper applies an AR(1)-GARCH (1, 1) process to detail the conditional distributions of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts. It then uses the conditional distribution for these contracts to estimate spectral risk measures, which are coherent risk measures that reflect a user's risk-aversion function. It compares these to more familiar VaR and Expected Shortfall (ES) measures of risk, and also compares the precision and discusses the relative usefulness of each of these risk measures in setting variation margins that incorporate time-varying market conditions. The goodness of fit of the model is confirmed by a variety of backtests.