Kevin Dowd

Nottingham University Business School (NUBS)

Jubilee Campus

Wollaton Road

Nottingham, NG8 1BB

United Kingdom

SCHOLARLY PAPERS

43

DOWNLOADS
Rank 4,225

SSRN RANKINGS

Top 4,225

in Total Papers Downloads

7,871

CITATIONS
Rank 2,171

SSRN RANKINGS

Top 2,171

in Total Papers Citations

258

Scholarly Papers (43)

1.

A Quantitative Comparison of Stochastic Mortality Models Using Data from England & Wales and the United States

Number of pages: 77 Posted: 11 Feb 2009
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School - The Pensions Institute, Nottingham University Business School (NUBS), Pacific Global Advisors and J.P. Morgan Chase & Co.
Downloads 903 (15,281)
Citation 25

Abstract:

Stochastic mortality, CBD-Perks models, Lee-Carter models, age effect, period effect, cohort effect, maximum likelihood, Bayes Information Criterion, robustness

2.

The Value of Risk Reporting: A Critical Analysis of Value at Risk Disclosures in the Banking Sector

International Journal of Financial Services Management, Vol. 8, No. 1, pp. 45-64, 2008
Number of pages: 20 Posted: 24 Oct 2008 Last Revised: 09 Mar 2009
Aston Business School, Nottingham University Business School (NUBS) and University of Manchester - Division of Accounting and Finance
Downloads 622 (30,926)

Abstract:

banking, value-at -risk, disclosure, risk reporting

3.

Market Risk Reporting by the World's Top Banks: Evidence on the Diversity of Reporting Practice and the Implications for Accounting Harmonisation

Number of pages: 37 Posted: 22 Jan 2009 Last Revised: 29 Jun 2009
Aston Business School, Nottingham University Business School (NUBS) and University of Manchester - Division of Accounting and Finance
Downloads 571 (30,745)
Citation 2

Abstract:

market risk, risk reporting, world's top banks, accounting harmonisation

4.

Verdict on the Crash: Causes and Policy Implications

Institute of Economic Affairs Monographs, No. HPB 37, 2009
Number of pages: 104 Posted: 23 Sep 2009
City University London - Sir John Cass Business School, Hebrew University of Jerusalem - Department of Economics, Adam Smith Institute, Institute of Economic Affairs (IEA), Cardiff University - Cardiff Business School, Nottingham University Business School (NUBS), Acton Institute for the Study of Religion and Liberty, London School of Economics & Political Science (LSE), Loughborough University - Department of Economics, University of Oxford - Said Business School, Cranfield University, National Bureau of Economic Research (NBER), Cass Business School, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 524 (37,789)
Citation 4

Abstract:

credit crunch, financial crisis, bank bailouts, financial regulation, Financial Services Authority, bank regulation, monetary policy, central banks, Federal Reserve, Fannie Mae, Freddie Mac, Community Reinvestment Act, Bank of England, Alan Greenspan

5.

Default Funds in UK Defined Contribution Pension Plans

Financial Analysts Journal, July/August 2007
Number of pages: 37 Posted: 10 Sep 2007
University of Edinburgh - Business School, Nottingham University Business School (NUBS), City University London - Cass Business School - The Pensions Institute and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 380 (60,950)
Citation 4

Abstract:

defined contribution, default funds, asset allocation, lifecycle investing

6.

Crunch Time for Bank Audits? Questions of Practice and the Scope for Dialogue

Number of pages: 32 Posted: 11 Feb 2009 Last Revised: 07 Jul 2009
Aston Business School, University of Manchester - Division of Accounting and Finance and Nottingham University Business School (NUBS)
Downloads 289 (81,889)
Citation 2

Abstract:

Credit crunch, auditors, fair value, bank auditing, auditing expectations, audit research

7.

Mortality Density Forecasts: An Analysis of Six Stochastic Mortality Models

Pensions Institute Discussion Paper No. PI-0801
Number of pages: 70 Posted: 10 Feb 2009 Last Revised: 10 Jul 2009
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School - The Pensions Institute, Nottingham University Business School (NUBS), Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 261 (89,194)
Citation 16

Abstract:

Stochastic mortality model, cohort erect, fan charts, model risk, fore-casting, model selection criteria

8.

The Birth of the Life Market

Pensions Institute Discussion Paper No. PI-0807
Number of pages: 32 Posted: 28 Apr 2009
City University London - Cass Business School - The Pensions Institute, Heriot-Watt University - Department of Actuarial Science & Statistics and Nottingham University Business School (NUBS)
Downloads 252 (96,967)
Citation 7

Abstract:

9.

Modelling and Management of Mortality Risk: A Review

Scandinavian Actuarial Journal, Vol. 2-3, pp. 79-113, 2008, Pensions Institute Discussion Paper No. PI-0814
Number of pages: 47 Posted: 10 Feb 2009 Last Revised: 16 Apr 2009
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School - The Pensions Institute and Nottingham University Business School (NUBS)
Downloads 248 (93,602)
Citation 18

Abstract:

Stochastic mortality models, Short-rate models, Market models, Cohort effect, SCOR

10.

Exponential Spectral Risk Measures

Number of pages: 16 Posted: 10 Jul 2007
John Cotter and Kevin Dowd
University College Dublin and Nottingham University Business School (NUBS)
Downloads 203 (124,460)

Abstract:

spectral risk measures, risk aversion functions, exponential utility

11.

The Stakeholder Pension Lottery: An Analysis of the Default Funds in UK Stakeholder Pension Schemes

EFA 2005 Moscow Meetings Paper, Cass Business School Research Paper
Number of pages: 26 Posted: 28 Jan 2005
University of Edinburgh - Business School, Nottingham University Business School (NUBS), City University London - Cass Business School - The Pensions Institute and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 190 (125,637)
Citation 1

Abstract:

pension schemes, defined contribution, default funds, strategic asset allocation, lifestyle profile, stochastic simulation

12.

Financial Risks and the Pension Protection Fund: Can it Survive Them?

Number of pages: 32 Posted: 22 Jun 2007
John Cotter, David P. Blake and Kevin Dowd
University College Dublin, City University London - Cass Business School - The Pensions Institute and Nottingham University Business School (NUBS)
Downloads 185 (131,709)
Citation 3

Abstract:

13.

Backtesting Stochastic Mortality Models: An Ex-Post Evaluation of Multi-Period Ahead-Density Forecasts

Number of pages: 43 Posted: 29 Apr 2009 Last Revised: 10 Jul 2009
Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School - The Pensions Institute, Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 174 (135,782)
Citation 12

Abstract:

backtesting, forecasting performance, mortality models

14.

Estimating Financial Risk Measures for Futures Positions: A Non-Parametric Approach

Number of pages: 26 Posted: 19 Jun 2007
John Cotter and Kevin Dowd
University College Dublin and Nottingham University Business School (NUBS)
Downloads 170 (139,238)
Citation 1

Abstract:

non-parametric, futures, risk measures

15.

There's No Time Like the Present: The Cost of Delaying Retirement Saving

Financial Services Review, Vol. 15, No. 3, 2006
Number of pages: 30 Posted: 10 Sep 2007
University of Edinburgh - Business School, Nottingham University Business School (NUBS), City University London - Cass Business School - The Pensions Institute and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 155 (135,782)

Abstract:

retirement saving, defined contribution, stochastic simulation

16.

U.S. Core Inflation: A Wavelet Analysis

Number of pages: 49 Posted: 22 Jun 2007
John Cotter and Kevin Dowd
University College Dublin and Nottingham University Business School (NUBS)
Downloads 153 (152,867)

Abstract:

core inflation, wavelets, trend inflation, inflation prediction

17.

Completing the Survivor Derivatives Market: A General Pricing Framework

Pensions Institute Discussion Paper No. PI-0712
Number of pages: 34 Posted: 10 Feb 2009
Kent State University, Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics and City University London - Cass Business School - The Pensions Institute
Downloads 149 (156,995)
Citation 2

Abstract:

18.

Options on Normal Underlyings with an Application to the Pricing of Survivor Swaptions

Pensions Institute Discussion Paper PI-0713
Number of pages: 29 Posted: 10 Feb 2009
Kent State University, Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics and City University London - Cass Business School - The Pensions Institute
Downloads 145 (126,237)
Citation 2

Abstract:

19.

Intra-Day Seasonality in Foreign Exchange Market Transactions

Number of pages: 21 Posted: 10 Jul 2007
John Cotter and Kevin Dowd
University College Dublin and Nottingham University Business School (NUBS)
Downloads 144 (159,597)

Abstract:

limit orders, market orders, seasonality

20.

The Distribution of Future Annuity Prices under Interest-Rate and Longevity Risks

Pension Institute Discussion Paper No. PI-0823
Number of pages: 25 Posted: 10 Feb 2009
Nottingham University Business School (NUBS), City University London - Cass Business School - The Pensions Institute and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 129 (181,176)
Citation 1

Abstract:

longevity risk, interest-rate risk, annuity prices, Taylor series

21.

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

AFA 2009 San Francisco Meetings
Number of pages: 37 Posted: 19 Jun 2007
John Cotter and Kevin Dowd
University College Dublin and Nottingham University Business School (NUBS)
Downloads 124 (177,975)
Citation 13

Abstract:

Spectral risk measures, Expected Shortfall, Value at Risk, GARCH

22.

Evaluating the Precision of Estimators of Quantile-Based Risk Measures

Number of pages: 31 Posted: 19 Jun 2007
John Cotter and Kevin Dowd
University College Dublin and Nottingham University Business School (NUBS)
Downloads 120 (180,086)

Abstract:

Value at Risk, Expected Shortfall, Spectral Risk Measures, Moments

23.

Evaluating the Goodness of Fit of Stochastic Mortality Models

Number of pages: 53 Posted: 04 May 2009
Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School - The Pensions Institute, Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 110 (195,163)
Citation 14

Abstract:

goodness of fit, mortality models

24.

Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements

Number of pages: 37 Posted: 19 Jun 2007
John Cotter and Kevin Dowd
University College Dublin and Nottingham University Business School (NUBS)
Downloads 102 (202,743)
Citation 17

Abstract:

Spectral risk measures, Expected Shortfall, Value at Risk, Extreme Value

25.

Turning Pensions Plans into Pension Planes: What Investment Strategy Designers of Defined Contribution Pension Plans Can Learn from Commercial Aircraft Designers

Number of pages: 86 Posted: 29 Apr 2009
City University London - Cass Business School - The Pensions Institute, Heriot-Watt University - Department of Actuarial Science & Statistics and Nottingham University Business School (NUBS)
Downloads 101 (201,450)
Citation 3

Abstract:

26.

How Unlucky is 25-Sigma?

Number of pages: 7 Posted: 06 Dec 2009
Nottingham University Business School (NUBS), University College Dublin, University of Manchester - Division of Accounting and Finance and Aston Business School
Downloads 84 (219,653)
Citation 1

Abstract:

risk

27.

Taking the Long View

Number of pages: 4 Posted: 06 May 2009 Last Revised: 10 Jul 2009
City University London - Cass Business School - The Pensions Institute, affiliation not provided to SSRN, Heriot-Watt University - Department of Actuarial Science & Statistics and Nottingham University Business School (NUBS)
Downloads 81 (245,706)
Citation 1

Abstract:

28.

The Tail Risks of FX Return Distributions: A Comparison of the Returns Associated with Limit Orders and Market Orders

Number of pages: 15 Posted: 25 Jun 2007
John Cotter and Kevin Dowd
University College Dublin and Nottingham University Business School (NUBS)
Downloads 76 (253,034)
Citation 1

Abstract:

limit orders, market orders, tail risks

29.

Extreme Measures of Agricultural Financial Risk

Number of pages: 40 Posted: 06 Dec 2009
John Cotter, Kevin Dowd and C. W. Morgan
University College Dublin, Nottingham University Business School (NUBS) and University of Nottingham
Downloads 70 (271,135)
Citation 1

Abstract:

Agricultural financial risk, Spectral risk measures, Expected Shortfall

30.

Facing Up to Uncertain Life Expectancy: The Longevity Fan Charts

Number of pages: 36 Posted: 11 Feb 2009
Nottingham University Business School (NUBS), City University London - Cass Business School - The Pensions Institute and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 69 (273,274)
Citation 7

Abstract:

31.

The Euro – The Beginning, the Middle...and the End?

Institute of Economic Affairs Monographs, Hobart Paperback 39, 2013, Institute of Economic Affairs Monographs, 2013
Number of pages: 216 Posted: 23 May 2013 Last Revised: 29 Aug 2013
City University London - Sir John Cass Business School, Complutense University of Madrid - Industrial and Financial Analysis Institute (IAIF), University of Buckingham, Independent, Lombard Street Research, Nottingham University Business School (NUBS), Independent, Reutlingen University - ESB Business School, Europe Economics, Cardiff University Business School, Record Currency Management Limited and Universidad CEU San Pablo
Downloads 61 (202,743)

Abstract:

32.

Spectral Risk Measures: Properties and Limitations

Number of pages: 27 Posted: 06 Dec 2009
Kevin Dowd, John Cotter and Ghulam Sorwar
Nottingham University Business School (NUBS), University College Dublin and Nottingham University Business School
Downloads 61 (275,394)
Citation 3

Abstract:

coherent risk measures, spectral risk measures, exponential utility

33.

The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts

Number of pages: 16 Posted: 11 Feb 2009
Nottingham University Business School (NUBS), City University London - Cass Business School - The Pensions Institute and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 40 (346,621)

Abstract:

mortality, fan charts, longevity risk, parameter risk

Phantoms Never Die: Living with Unreliable Population Data

Journal of the Royal Statistical Society, 2016
Number of pages: 31 Posted: 22 Mar 2016
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School - The Pensions Institute, Nottingham University Business School (NUBS) and Prudential Retirement
Downloads 16 (484,237)

Abstract:

Baby boom; Cohort–births–deaths exposures methodology; Convexity adjustment ratio; Deaths; Graphical diagnostics; Population data

35.

Longevity Bonds: Financial Engineering, Valuation, and Hedging

Journal of Risk & Insurance, Vol. 73, No. 4, pp. 647-672, December 2006
Number of pages: 26 Posted: 29 Nov 2006
City University London - Cass Business School - The Pensions Institute, Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics and National Chengchi University
Downloads 33 (381,227)
Citation 18
  • Add to Cart

Abstract:

36.

A Two-Factor Model for Stochastic Mortality With Parameter Uncertainty: Theory and Calibration

Journal of Risk & Insurance, Vol. 73, No. 4, pp. 687-718, December 2006
Number of pages: 32 Posted: 29 Nov 2006
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School - The Pensions Institute and Nottingham University Business School (NUBS)
Downloads 29 (397,184)
Citation 40
  • Add to Cart

Abstract:

37.

Survivor Swaps

Journal of Risk and Insurance, Vol. 73, No. 1, pp. 1-17, March 2006
Number of pages: 17 Posted: 08 May 2006
Nottingham University Business School (NUBS), City University London - Cass Business School - The Pensions Institute, Heriot-Watt University - Department of Actuarial Science & Statistics and Kent State University
Downloads 25 (415,306)
Citation 25
  • Add to Cart

Abstract:

38.

What Should Be Done About the Underfunding of Defined Benefit Pension Schemes? A Case Study of Ireland

Number of pages: 42 Posted: 04 Mar 2014
John Cotter, David P. Blake and Kevin Dowd
University College Dublin, City University London - Cass Business School - The Pensions Institute and Nottingham University Business School (NUBS)
Downloads 24 (381,227)

Abstract:

Defined Benefit Pension Schemes, Funding, Government Insurance Schemes

39.

After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures

Journal of Risk & Insurance, Vol. 73, No. 2, pp. 193-229, June 2006
Number of pages: 37 Posted: 30 May 2006
Kevin Dowd and David P. Blake
Nottingham University Business School (NUBS) and City University London - Cass Business School - The Pensions Institute
Downloads 16 (461,484)
Citation 13
  • Add to Cart

Abstract:

40.

Promoting Scholarship that Matters: The Uselessness of Useful Research and the Usefulness of Useless Research

Number of pages: 10 Posted: 14 Feb 2012
Mark Learmonth, Andy Lockett and Kevin Dowd
Durham University, Nottingham University Business School (NUBS) and Nottingham University Business School (NUBS)
Downloads 2 (530,214)
Citation 1
  • Add to Cart

Abstract:

41.

Good Practice Principles in Modelling Defined Contribution Pension Plans

Posted: 22 Mar 2016
David P. Blake and Kevin Dowd
City University London - Cass Business School - The Pensions Institute and Nottingham University Business School (NUBS)

Abstract:

42.

Perspectives: Designing a Defined-Contribution Plan - What to Learn from Aircraft Designers

Financial Analysts Journal, Vol. 65, No. 1, 2009
Posted: 31 Jan 2009
City University London - Cass Business School - The Pensions Institute, Heriot-Watt University - Department of Actuarial Science & Statistics and Nottingham University Business School (NUBS)

Abstract:

Portfolio Management: Asset/Liability Management; Advocacy, Regulatory, and Legislative Issues: Advocacy Issues

43.

Default Funds in U.K. Defined-Contribution Plans

Financial Analysts Journal, Vol. 63, No. 4, pp. 40-51, July/August 2007
Posted: 25 Jul 2007
University of Edinburgh - Business School, Nottingham University Business School (NUBS), City University London - Cass Business School - The Pensions Institute and Heriot-Watt University - Department of Actuarial Science & Statistics

Abstract:

Private Wealth Management, Asset Allocation, Portfolio Management, Other