“Spectral Risk Measures: Properties and Limitations”: Comment on Dowd, Cotter, and Sorwar

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• 作者：Mario Brandtner
• 关键词：Spectral risk measures ; Exponential risk spectrum ; Power risk spectrum ; Comparative risk aversion ; G15
• 刊名：Journal of Financial Services Research
• 出版年：2016
• 出版时间：February 2016
• 年：2016
• 卷：49
• 期：1
• 页码：121-131
• 全文大小：270 KB
• 参考文献：Acerbi C (2002) Spectral measures of risk: a coherent representation of subjective risk aversion. J Bank Financ 26 (7):1505–1518CrossRef
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  Dowd K, Cotter J, Sorwar G (2008) Spectral risk measures: properties and limitations. J Financ Serv Res 34 (1):61–75CrossRef
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• 作者单位：Mario Brandtner (1)
  
  1. Friedrich Schiller University of Jena, Chair of Finance, Banking, and Risk Management, Carl-Zeiss-Str. 3, D-07743, Jena, Germany
  
• 刊物类别：Business and Economics
• 刊物主题：Economics
  Finance and Banking
  Macroeconomics and Monetary Economics
  
• 出版者：Springer Netherlands
• ISSN：1573-0735

文摘

In their paper “Spectral Risk Measures: Properties and Limitations”, Dowd et al. (J Financ Serv Res 341:61–75, 2008) introduce exponential and power spectral risk measures as subclasses of spectral risk measures (SRMs) to the literature, and claim that they are subject to three serious limitations: First, for these subclasses, the spectral risk may be counterintuitively decreasing when the user’s risk aversion is increasing. Second, these subclasses, and power SRMs in particular, become completely insensitive to market volatility when the respective parameters of risk aversion tend to their lower and upper boundaries. Third, exponential SRMs exhibit constant absolute risk aversion, while constant relative risk aversion better meets the empirical evidence. Consequently, “users of spectral risk measures must be careful to select utility functions that fit the features of the particular problems they are dealing with, and should be especially careful when using power SRMs.” (p. 61). In this comment, we show that the findings of Dowd et al. (J Financ Serv Res 341:61–75, 2008) suffer from misinterpretations and wrong conclusions. Keywords Spectral risk measures Exponential risk spectrum Power risk spectrum Comparative risk aversion