Hello David,
I have a clarification on the implication of spectral risk measure. What does it convey?
Since we are taking weighted average of of quantiles (weights being calculated as per Dowd's formula' or assigned according to discretion), should I understand the spectral risk measure as the number of standard deviations of returns.
So, if the mean of normal distribution is 20% and the spectral risk measure of .42, what should my understanding be?
If one were to calculate Capital requirements as per spectral risk measure, how to arrive at the required capital?
Your help on this very much appreciated.
Many Thanks,
Vijay.
I have a clarification on the implication of spectral risk measure. What does it convey?
Since we are taking weighted average of of quantiles (weights being calculated as per Dowd's formula' or assigned according to discretion), should I understand the spectral risk measure as the number of standard deviations of returns.
So, if the mean of normal distribution is 20% and the spectral risk measure of .42, what should my understanding be?
If one were to calculate Capital requirements as per spectral risk measure, how to arrive at the required capital?
Your help on this very much appreciated.
Many Thanks,
Vijay.