Estimating financial risk measures for futures positions: A nonparametric approach

This study presents nonparametric estimates of spectral risk measures (SRM) applied to long and short positions in five prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, the Value-at-Risk and Expected Shortfall. The SRMs are conditioned on the coefficient of absolute risk aversion, and the latter two are conditioned on the confidence level. Our findings indicate that all risk measures increase dramatically and their estimators deteriorate in precision when their respective conditioning parameter increases. Results also suggest that estimates of SRMs and their precision levels are of comparable orders of magnitude as those of more conventional risk measures.