Outputs (13)

Backtesting Risk Models within a Standard Normality Framework. (2006)
Journal Article
Dowd, K. (2006). Backtesting Risk Models within a Standard Normality Framework. Journal of Risk, 9(2), 93-111

Using Order Statistics to Estimate Confidence Intervals for Probabilistic Risk Measures. (2006)
Journal Article
Dowd, K. (2006). Using Order Statistics to Estimate Confidence Intervals for Probabilistic Risk Measures. The journal of derivatives, 14(2), 77-81. https://doi.org/10.3905/jod.2006.667552

FOMC Macroeconomic Forecasts: A Non-Parametric Analysis (2006)
Journal Article
Dowd, K. (2006). FOMC Macroeconomic Forecasts: A Non-Parametric Analysis. International Journal of Applied Economics and Finance, 3(2), 1-8

Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements. (2006)
Journal Article
Cotter, J., & Dowd, K. (2006). Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements. Journal of Banking and Finance, 30(12), 3469-3485. https://doi.org/10.1016/j.jbankfin.2006.01.008%2C

After VaR: The Theory, Estimation and Insurance Applications of Quantile-based Risk Measures. (2006)
Journal Article
Dowd, K., & Blake, D. (2006). After VaR: The Theory, Estimation and Insurance Applications of Quantile-based Risk Measures. Journal of Risk and Insurance, 73(2), 193-228. https://doi.org/10.1111/j.1539-6975.2006.00171.x

Value-at-Risk (2006)
Book Chapter
Dowd, K. (2006). Value-at-Risk. In J. Teugelsl, & B. Sundt (Eds.), Encyclopedia of Actuarial Science (1740-1748). John Wiley and Sons. https://doi.org/10.1002/9780470012505.tav004

Forecasting Inflation: The Inflation "Fan Charts". (2006)
Book Chapter
Dowd, K. (2006). Forecasting Inflation: The Inflation "Fan Charts". In K. A. Matthews, & P. Booth (Eds.), Isues in Monetary Policy: The Relationship between Money and Financial Markets (80-93). John Wiley and Sons, Chichester

A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration (2006)
Journal Article
Cairns, A. J. G., Blake, D., & Dowd, K. (2006). A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration. Journal of Risk and Insurance, 73(4), 687-718. https://doi.org/10.1111/j.1539-6975.2006.00195.x

Longevity Bonds: Financial Engineering, Valuation, and Hedging (2006)
Journal Article
Blake, D., Cairns, A., Dowd, K., & MacMinn, R. (2006). Longevity Bonds: Financial Engineering, Valuation, and Hedging. Journal of Risk and Insurance, 73(4), 647-672. https://doi.org/10.1111/j.1539-6975.2006.00193.x

Mortality-dependent financial risk measures (2006)
Journal Article
Dowd, K., Cairns, A. J., & Blake, D. (2006). Mortality-dependent financial risk measures. Insurance: Mathematics and Economics, 38(3), 427-440. https://doi.org/10.1016/j.insmatheco.2005.11.003