Kevin Dowd

Nottingham University Business School (NUBS)

Jubilee Campus

Wollaton Road

Nottingham, NG8 1BB

United Kingdom

  • Nottingham University Business School (NUBS)

SCHOLARLY PAPERS

43

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Top 2,510

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176

CROSSREF CITATIONS

359

Scholarly Papers (43)

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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 1,399 (17,353)
Citation 89

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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 University of Manchester - Division of Accounting and Finance
Downloads 774 (40,642)
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 University of Manchester - Division of Accounting and Finance
Downloads 746 (42,681)

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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 - Sir John Cass 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, London School of Economics & Political Science (LSE), 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 653 (50,986)

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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.

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 426 (86,546)
Citation 3

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defined contribution, default funds, asset allocation, lifecycle investing

6.

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 379 (99,084)
Citation 56

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

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 340 (111,934)
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, University of Manchester - Division of Accounting and Finance and Nottingham University Business School (NUBS)
Downloads 314 (122,017)
Citation 1

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

9.

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 273 (141,286)
Citation 7

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10.

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 253 (152,534)
Citation 4

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11.

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 244 (158,099)

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spectral risk measures, risk aversion functions, exponential utility

12.

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 231 (166,617)

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retirement saving, defined contribution, stochastic simulation

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 220 (174,623)

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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 206 (185,673)
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 198 (192,611)
Citation 3

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16.

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 191 (198,905)
Citation 2

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non-parametric, futures, risk measures

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
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 173 (216,830)
Citation 1

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18.

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 172 (218,020)

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core inflation, wavelets, trend inflation, inflation prediction

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 167 (223,457)
Citation 1

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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
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 145 (251,288)
Citation 2

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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 142 (255,534)

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

22.

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 - 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 Camilo Jose Cela
Downloads 139 (259,858)

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23.

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 139 (259,858)
Citation 1

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

24.

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 138 (261,333)
Citation 6

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25.

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 137 (262,858)
Citation 22

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goodness of fit, mortality models

26.

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 135 (265,862)
Citation 2

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coherent risk measures, spectral risk measures, exponential utility

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 122 (286,859)
Citation 10

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

28.

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 90 (351,865)
Citation 2

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29.

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 86 (361,835)
Citation 1

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limit orders, market orders, tail risks

30.

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 80 (377,902)
Citation 13

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31.

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 77 (386,299)
Citation 2

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Agricultural financial risk, Spectral risk measures, Expected Shortfall

32.

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 58 (448,140)
Citation 1

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Defined Benefit Pension Schemes, Funding, Government Insurance Schemes

33.

Phantoms Never Die: Living with Unreliable Population Data

Downloads 30 (459,277)
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 30 (591,027)

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

34.

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 48 (487,192)

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mortality, fan charts, longevity risk, parameter risk

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
David P. Blake, Kevin Dowd, Andrew J. G. Cairns and Richard D. MacMinn
City, University of London, Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics and National Chengchi University
Downloads 35 (548,442)
Citation 7
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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
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 32 (564,646)
Citation 37
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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
Kevin Dowd, David P. Blake, Andrew J. G. Cairns and Paul Dawson
Nottingham University Business School (NUBS), City, University of London, Heriot-Watt University - Department of Actuarial Science & Statistics and Kent State University
Downloads 27 (594,121)
Citation 9
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38.

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 of London
Downloads 17 (663,313)
Citation 1
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39.

Good Practice Principles in Modelling Defined Contribution Pension Plans

Downloads 0 (693,546)

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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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 3 (771,950)
Citation 1
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41.

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, University of Manchester - Division of Accounting and Finance and Aston Business School

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risk

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
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

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
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