In this thesis, we try to provide a broadeconometric analysis of a class of risk measures, distortion risk measures (DRM). With carefully selected functional form, theValue-at-Risk (VaR) and Tail-VaR (TVaR) are special cases of DRMs. Besides, the DRM also admits interpretation in the sense...

The S&P 500 Index is a leading indicator of U.S. equities and is meant to reflect the risk and return on the U.S. stock market. Many derivatives based on the S&P 500 are available to investors. The S&P 500 Futures of the Chicago Mercantile Exchange and the S&P 500 Index Options of the Chicago...