Kevin Dowd

Nottingham University Business School (NUBS)

Jubilee Campus

Wollaton Road

Nottingham, NG8 1BB

United Kingdom

  • Nottingham University Business School (NUBS)

SCHOLARLY PAPERS

38

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10,318

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Top 3,488

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176

CROSSREF CITATIONS

359

Scholarly Papers (38)

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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
Andrew J. G. Cairns, David P. Blake, Kevin Dowd, Guy Coughlan and David Epstein
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Nottingham University Business School (NUBS), Pacific Global Advisors and J.P. Morgan Chase & Co.
Downloads 1,700 (20,457)
Citation 95

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

2.

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
Margaret Woods, Kevin Dowd and Christopher Humphrey
Aston Business School, Nottingham University Business School (NUBS) and The University of Manchester - Division of Accounting and Finance
Downloads 812 (59,390)
Citation 10

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

3.

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
Margaret Woods, Kevin Dowd and Christopher Humphrey
Aston Business School, Nottingham University Business School (NUBS) and The University of Manchester - Division of Accounting and Finance
Downloads 790 (61,658)
Citation 2

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

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
Philip Booth, Michael Beenstock, Eamonn Butler, Tim Congdon, Laurence Copeland, Kevin Dowd, Samuel Gregg, John Kay, David T. Llewellyn, Alan D. Morrison, D. R. Myddelton, Anna J. Schwartz, Geoffrey Wood, James Alexander and John Greenwood
City University London - The Business School, Hebrew University of Jerusalem - Department of Economics, Adam Smith Institute, University of Buckingham, Cardiff University - Cardiff Business School, Nottingham University Business School (NUBS), Acton Institute for the Study of Religion and Liberty, St John's College, Oxford, Loughborough University - Department of Economics, University of Oxford - Said Business School, Cranfield University, City University of New York (CUNY), Cass Business School, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 731 (68,238)

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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.

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
Andrew J. G. Cairns, David P. Blake, Kevin Dowd, Guy Coughlan, David Epstein and Marwa Khalaf-Allah
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Nottingham University Business School (NUBS), Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 476 (116,668)
Citation 56

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

6.

Default Funds in UK Defined Contribution Pension Plans

Financial Analysts Journal, July/August 2007
Number of pages: 37 Posted: 10 Sep 2007
Alistair Byrne, Kevin Dowd, David P. Blake and Andrew J. G. Cairns
University of Edinburgh - Business School, Nottingham University Business School (NUBS), City, University of London and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 464 (120,292)
Citation 3

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defined contribution, default funds, asset allocation, lifecycle investing

7.

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
Andrew J. G. Cairns, David P. Blake and Kevin Dowd
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London and Nottingham University Business School (NUBS)
Downloads 374 (154,211)
Citation 15

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

8.

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
Margaret Woods, Christopher Humphrey and Kevin Dowd
Aston Business School, The University of Manchester - Division of Accounting and Finance and Nottingham University Business School (NUBS)
Downloads 342 (169,948)
Citation 1

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

9.

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
Alistair Byrne, Kevin Dowd, David P. Blake and Andrew J. G. Cairns
University of Edinburgh - Business School, Nottingham University Business School (NUBS), City, University of London and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 305 (192,010)

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retirement saving, defined contribution, stochastic simulation

10.

The Birth of the Life Market

Pensions Institute Discussion Paper No. PI-0807
Number of pages: 32 Posted: 28 Apr 2009
David P. Blake, Andrew J. G. Cairns and Kevin Dowd
City, University of London, Heriot-Watt University - Department of Actuarial Science & Statistics and Nottingham University Business School (NUBS)
Downloads 298 (196,740)
Citation 7

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11.

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
Paul Dawson, Kevin Dowd, Andrew J. G. Cairns and David P. Blake
Kent State University, Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics and City, University of London
Downloads 294 (199,545)
Citation 4

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12.

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 270 (217,832)

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spectral risk measures, risk aversion functions, exponential utility

13.

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
Alistair Byrne, Kevin Dowd, David P. Blake and Andrew J. G. Cairns
University of Edinburgh - Business School, Nottingham University Business School (NUBS), City, University of London and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 257 (228,798)

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

14.

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
Kevin Dowd, Andrew J. G. Cairns, David P. Blake, Guy Coughlan, David Epstein and Marwa Khalaf-Allah
Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 241 (243,707)
Citation 31

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backtesting, forecasting performance, mortality models

15.

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

Number of pages: 32 Posted: 22 Jun 2007 Last Revised: 24 Jun 2020
John Cotter, David P. Blake and Kevin Dowd
University College Dublin, City, University of London and Nottingham University Business School (NUBS)
Downloads 225 (260,386)
Citation 3

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16.

Completing the Survivor Derivatives Market: A General Pricing Framework

Pensions Institute Discussion Paper No. PI-0712
Number of pages: 34 Posted: 10 Feb 2009
Paul Dawson, Kevin Dowd, Andrew J. G. Cairns and David P. Blake
Kent State University, Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics and City, University of London
Downloads 213 (273,993)
Citation 1

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17.

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 210 (277,650)
Citation 2

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non-parametric, futures, risk measures

18.

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 193 (299,992)
Citation 2

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limit orders, market orders, seasonality

19.

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 191 (302,825)

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core inflation, wavelets, trend inflation, inflation prediction

20.

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 172 (332,512)

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

21.

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
Philip Booth, Francisco Cabrillo Rodríguez, Juan Castaneda, John Chown, Jamie Dannhauser, Kevin Dowd, Katja Hengstermann, Bodo Herzog, Andrew Lilico, Patrick Minford, Neil Record and Pedro Schwartz
City University London - The 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 Camilo Jose Cela
Downloads 170 (336,005)

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22.

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
Kevin Dowd, David P. Blake and Andrew J. G. Cairns
Nottingham University Business School (NUBS), City, University of London and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 169 (337,698)
Citation 2

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

23.

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 164 (346,510)
Citation 3

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coherent risk measures, spectral risk measures, exponential utility

24.

Evaluating the Goodness of Fit of Stochastic Mortality Models

Number of pages: 53 Posted: 04 May 2009
Kevin Dowd, Andrew J. G. Cairns, David P. Blake, Guy Coughlan, David Epstein and Marwa Khalaf-Allah
Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 164 (346,510)
Citation 23

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goodness of fit, mortality models

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
David P. Blake, Andrew J. G. Cairns and Kevin Dowd
City, University of London, Heriot-Watt University - Department of Actuarial Science & Statistics and Nottingham University Business School (NUBS)
Downloads 163 (348,349)
Citation 6

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26.

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 153 (367,138)
Citation 1

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

27.

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 145 (383,520)
Citation 10

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

28.

Good Practice Principles in Modelling Defined Contribution Pension Plans

Downloads 0 (398,780)
Citation 1

Good Practice Principles in Modelling Defined Contribution Pension Plans

Posted: 22 Mar 2016
David P. Blake and Kevin Dowd
City, University of London and Nottingham University Business School (NUBS)

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29.

Phantoms Never Die: Living with Unreliable Population Data

Downloads 49 (446,811)
Citation 11

Phantoms Never Die: Living with Unreliable Population Data

Journal of the Royal Statistical Society, 2016
Number of pages: 31 Posted: 22 Mar 2016
Andrew J. G. Cairns, David P. Blake, Kevin Dowd and Amy R. Kessler
Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London, Nottingham University Business School (NUBS) and Prudential Retirement
Downloads 49 (760,113)

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

30.

Taking the Long View

Number of pages: 4 Posted: 06 May 2009 Last Revised: 10 Jul 2009
David P. Blake, Tom Boardman, Andrew J. G. Cairns and Kevin Dowd
City, University of London, affiliation not provided to SSRN, Heriot-Watt University - Department of Actuarial Science & Statistics and Nottingham University Business School (NUBS)
Downloads 109 (476,956)
Citation 2

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31.

Facing Up to Uncertain Life Expectancy: The Longevity Fan Charts

Number of pages: 36 Posted: 11 Feb 2009
Kevin Dowd, David P. Blake and Andrew J. G. Cairns
Nottingham University Business School (NUBS), City, University of London and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 105 (489,956)
Citation 13

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32.

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 105 (489,956)
Citation 1

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limit orders, market orders, tail risks

33.

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 101 (503,560)
Citation 3

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Agricultural financial risk, Spectral risk measures, Expected Shortfall

34.

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 of London and Nottingham University Business School (NUBS)
Downloads 93 (531,541)
Citation 2

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Defined Benefit Pension Schemes, Funding, Government Insurance Schemes

35.

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

Number of pages: 16 Posted: 11 Feb 2009
Kevin Dowd, David P. Blake and Andrew J. G. Cairns
Nottingham University Business School (NUBS), City, University of London and Heriot-Watt University - Department of Actuarial Science & Statistics
Downloads 70 (627,488)
Citation 1

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mortality, fan charts, longevity risk, parameter risk

36.

How Unlucky is 25-Sigma?

https://doi.org/10.3905/jpm.2008.709984
Posted: 21 May 2019
Kevin Dowd, John Cotter, Christopher Humphrey and Margaret Woods
Nottingham University Business School (NUBS), University College Dublin, The University of Manchester - Division of Accounting and Finance and Aston Business School

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risk

37.

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

Financial Analysts Journal, Vol. 65, No. 1, 2009
Posted: 31 Jan 2009
David P. Blake, Andrew J. G. Cairns and Kevin Dowd
City, University of London, Heriot-Watt University - Department of Actuarial Science & Statistics and Nottingham University Business School (NUBS)

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

38.

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
Alistair Byrne, Kevin Dowd, David P. Blake and Andrew J. G. Cairns
University of Edinburgh - Business School, Nottingham University Business School (NUBS), City, University of London and Heriot-Watt University - Department of Actuarial Science & Statistics

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Private Wealth Management, Asset Allocation, Portfolio Management, Other