  This paper presents non-parametric estimates of spectral risk measures
applied to long and short positions in 5 prominent equity futures contracts. It
also compares these to estimates of two popular alternative measures, the
Value-at-Risk (VaR) and Expected Shortfall (ES). The spectral risk measures are
conditioned on the coefficient of absolute risk aversion, and the latter two
are conditioned on the confidence level. Our findings indicate that all risk
measures increase dramatically and their estimators deteriorate in precision
when their respective conditioning parameter increases. Results also suggest
that estimates of spectral risk measures and their precision levels are of
comparable orders of magnitude as those of more conventional risk measures.
Running head: financial risk measures for futures positions
