Nottingham University Business School
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Kevin Dowd, Emeritus Professor

BA (Sheffield), MA (Western Ontario), PhD (Sheffield)
Emeritus Professor

E-mail: k.dowd@nottingham.ac.uk
Location:  

Research Interests
Pensions and insurance; financial risk measurement and management; monetary economics; political economy.


External Exminerships & Validations
2006 - 2006    External examiner on UG and masters finance programmes, Cass Business School.
2005 - 2005    External examiner for a PhD at Loughborough University.
2004 - 2004    External examiner on various master's programmes at Leicester Management Centre.


Published Work: Highlights
     Listed in the ranking of the World's Top 1000 Economists (one of around 90 UK Economists) in research funded by the European Economics Association.
International Collaborations, Organisation & Contributions
2006 - 2006    "Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities". (D. Blake, A. J. G. Cairns and K. Dowd) British Actuarial Journal, Volume 12, 2006, pp. 153-197. This paper won the This paper won the Faculty of Actuaries in Scotland Prize for the best paper in the 2005-2006 session, and was cited as "highly commended" by the Institute of Actuaries of England and Wales.
2003 - 2006    ESRC research fellowship on 'risk management in financial institutions' (worth 242k). This was rated as 'Outstanding'.
The following lists my publications from 2005 to the present day.

Journal Articles

Sorwar, G.; Mozumder, S.; Dowd, Emeritus Professor, K.(2013)., "Skewness Models for Option Pricing and Option Portfolio Approximation", Review of Quantitative Finance and Accounting, Vol.40, pp. 273-292.

Sorwar, G.; Dowd, K.(2010)., "Estimating Financial Risk Measures for Options", Journal of Banking and Finance, Vol.34, pp. 1982-1992.

Dowd, K.; Woods, M.(2009)., "Pensions Risk", Financial Management (CIMA), Vol.February, pp. 45-47.

Humphrey, C.; Woods, M.; Dowd, K.(2009)., "Responding to a good crisis - challenging questions for bank auditors (II)", Financial Services Focus, ICAEW, London, June.

Humphrey, C.; Woods, M.; Dowd, K.(2009)., "Responding to a good crisis - challenging questions for bank auditors (1)", Financial Services Focus, ICAEW, London, May.

Woods, M.; Dowd, K.(2009)., "Financial Risk Management for Management Accountants", Society of Management Accountants Canada, American Institute of Certified Public Accountants and Chartered Institute of Management Accountants.

Woods, M.; Humphrey, C.; Dowd, K.; Yu-Lin, L.(2009)., "Crunch time for bank audits? Questions of practice and scope for dialogue", Managerial Auditing Journal.

Blake, D.; Cairnes, A.; Dowd, K.(2008)., "The birth of the life market", Asia-Pacific Journal of Risk and Insurance, forthcoming 2008.

Blake, D.; Dowd, K.; Cairnes, A.(2008)., "Longevity Risk and the Grim Reaper's Toxic Tail: The Survivor Fan Charts", Insurance: Mathematics and Economics, forthcoming 2008.

Dowd, K.(2008)., "The GDP Fan Charts An Empirical Evaluation", National Institute Economic Review, Vol.January, pp. 59-67.

Dowd, K.(2008)., "Copulas in Macroeconomics", Journal of International and Global Economic Studies, forthcoming 2008.

Dowd, K.; Bartlett, D.; Chaplin, M.; Kelliher, P.; O'Brien, C.(2008)., "Risk management in the UK insurance industry the changing state of practice", International Journal of Financial Services Management, Vol.3 (1), pp. 5-23.

Dowd, K.; Cotter, J.; Humphrey, C.; Woods, M.(2008)., "How unlucky is 25 sigma?", Journal of Portfolio Management, Vol.34(4), pp.76-80.

Sorwar, G.; Dowd, K.; Cotter, J.(2008)., "Spectral Risk Measure: Properties and Limitations", Journal of Financial Services Research, Vol.34, pp. 71-75.

Woods, M.; Dowd, K.; Humphrey, C.(2008)., "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 (1), pp. 45-64.

Blake, D.; Cairns, A.; Dowd, K.(2007)., "The Impact of Occupation and Gender Differences on Defined-Contribution Pension Plans", Geneva Papers on Risk and Insurance - Issues and Practice, forthcoming 2007.

Byrne, A.; Blake, D.; Cairnes, A.; Dowd, K.(2007)., "Default Funds in UK Defined Contribution Pension Plans", Financial Analysts Journal, Vol.63 (4), pp. 40-51.

Dowd, K.(2007)., "Risk Management vs. Statistics: Correlation Volatility and the Principle of Prudence", Financial Engineering News, Vol.53 (January-February), pp. 15, 20.

Dowd, K.(2007)., "Probable Maximum Loss An Almost Ideal Risk Measure?", Financial Engineering News, Vol.54, March-April, http//www.fenews.com/fen54/risk-reward/riskreward.htm.

Dowd, K.(2007)., "Temporal Dependence in Multi-Step Density Forecasting Models", Journal of Risk Model Validation, Vol.1 (1), pp. 3-22.

Dowd, K.(2007)., "Validating Multiple-Period Density Forecasting Models", Journal of Forecasting, Vol.26 (4), pp. 251-270.

Dowd, K.(2007)., "Too Good to be True? The (In)credibility of the UK Inflation Fan Charts", Journal of Macroeconomics, Vol.29 (1), pp.91-102.

Dowd, K.(2007)., "The Pagan Report on Modelling and Forecasting at the Bank of England", Greek Economic Review, forthcoming 2007.

Dowd, K.(2007)., "Backtesting the RPIX Inflation Fan Charts", Journal of Risk Model Validation, Vol.1 (3), pp. 1-19.

Dowd, K.(2007)., "Guest Editorial Journal of Risk Special Issue on Backtesting", Journal of Risk, Vol.9 (2), v-vi.

Dowd, K.; Cotter, J.(2007)., "Exponential Spectral Risk Measures", ICFAI Journal of Mergers and Acquisitions, Vol.5 (4), pp. 57-66.

Aragones, J.; Blanco, C.; Dowd, K.(2006)., "The Ghost at the Banquet Managing Model Risk", Futures and Options World.

Blake, D.; Cairnes, A.; Dowd, K.; MacMinn, R.(2006)., "Longevity Bonds: Financial Engineering, Valuation and Hedging", Journal of Risk and Insurance, Vol.73 (4), pp. 647-672.

Blake, D.; Cairns, A.; Dowd, K.(2006)., "Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities", British Actuarial Journal, Vol.12 (1), pp. 153-197.

Byrne, A.; Blake, D.; Cairns, A.; Dowd, K.(2006)., "There's No Time Like the Present: The Cost of Delaying Retirement Saving", Financial Services Review, Vol.15, pp. 213-231.

Cairns, A.; Blake, D.; Dowd, K.(2006)., "Stochastic Lifestyling: Optimal Dynamic Asset Allocation for Defined-Contribution Pension Plans", Journal Economic Dynamics and Control, Vol.30, pp.843-877.

Cairns, A.; Blake, D.; Dowd, K.(2006)., "A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration", Journal of Risk and Insurance, Vol.73 (4), pp. 687-718.

Cotter, J.; Dowd, K.(2006)., "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements", Journal of Banking and Finance, Vol.30 (12), pp. 3469-3485.

Dowd, K.(2006)., "The Invisible Problem of Risk Blindness", Financial Engineering News, Vol.52 (November-December), pp. 27, 34.

Dowd, K.(2006)., "Taking the Long-Term View", Financial Engineering News, Vol.51, pp. 27, 30.

Dowd, K.(2006)., "The State of Risk Management", Financial Engineering News, Vol.48 (March-April), pp. 17-18.

Dowd, K.(2006)., "How to Become a Good Financial Engineer", Financial Engineering News, Vol.47 (January-February), 13, 16.

Dowd, K.(2006)., "Backtesting Risk Models within a Standard Normality Framework", Journal of Risk, Vol.9 (2), pp. 93-111.

Dowd, K.(2006)., "Using Order Statistics to Estimate Confidence Intervals for Probabilistic Risk Measures", Journal of Derivatives, Vol.14 (2), pp. 77-81.

Dowd, K.(2006)., "FOMC Macroeconomic Forecasts: A Non-Parametric Analysis", International Journal of Applied Economics, Vol.3 (2), pp. 1-8.

Dowd, K.; Blake, D.(2006)., "After VaR: The Theory, Estimation, and Insurance Applications of Quantile-based Risk Measures", Journal of Risk and Insurance, Vol.73 (2), pp. 193-228.

Dowd, K.; Blake, D.; Cairns, A.(2006)., "The Grave Problem of Longevity Risk", Financial Engineering News, Vol.49 (September-October), pp. 19, 30.

Dowd, K.; Blake, D.; Cairns, A.; Dawson, P.(2006)., "Survivor Swaps", Journal of Risk and Insurance, Vol.73 (1), pp.1-17.

Dowd, K.; Cairnes, A.; Blake, D.(2006)., "Mortality-Dependent Measures of Financial Risk", Insurance: Mathematics and Economics, Vol.38, pp. 427-440.

Dowd, K.; Oliver, P.(2006)., "Temporal Aggregation of GARCH Volatility Processes: A (Partial) Rehabilitation of the Square-Root Rule", Journal of Accounting and Finance, Vol.5, pp. 51-60.

Blake, D.; Cairns, A.; Cox, S.; Dawson, P.; Dowd, K.; MacMinn, R.(2005)., "UK The Benefits of Longevity Bonds", Pensions International, Vol.67 (February 2005), pp. 6-7.

Blanco, C.; Dowd, K.; Mark, R.(2005)., "A Liquid Diet", Futures and Options World, Vol.June 2005, pp. 43-46.

Blanco, C.; Dowd, K.; Mark, R.(2005)., "Russian Roulette", Futures and Options World, Vol.April 2005, pp. 45 - 48.

Blanco, C.; Dowd, K.; Mark, R.(2005)., "Art or Science?", Futures and Options World, Vol.May 2005, pp. 50-53.

Cairns, A.; Blake, D.; Dawson, P.; Dowd, K.(2005)., "Pricing Risk on Longevity Bonds", Life & Pensions, Vol.1 (2), pp. 41-44.

Dowd, K.(2005)., "Coherent Risk Measures", Financial Engineering News, Vol.41 (January-February), pp.9-10.

Dowd, K.(2005)., "Hedge Funds Losses, Credit Derivatives and Dr. Li's Copula", Financial Engineering News, Vol.46 (November-December), pp. 1, 4.

Dowd, K.(2005)., "Evaluating Copulas", Financial Engineering News, Vol.46 (November-December), pp. 7, 10.

Dowd, K.(2005)., "Everything You Need to Know About Backtesting", Financial Engineering News, Vol.48 (September-October 2005), pp. 19, 22.

Dowd, K.(2005)., "Distortion Risk Measures", Financial Engineering News, Vol.44 (July-August 2005), pp. 7, 12, 14.

Dowd, K.(2005)., "Spectral Risk Measures", Financial Engineering News, Vol.42 (March-April 2005), pp. 11-12.

Dowd, K.(2005)., "Estimating Risk Measures", Financial Engineering News, Vol.43 (May-June 2005), pp. 13, 16.

Dowd, K.(2005)., "Risk Management: Some Guidelines for Practitioners", Risk Management, Vol.6, pp. 31-34.

Dowd, K.(2005)., "Copulas and Coherence Portfolio Analysis in a Non-Normal World", Journal of Portfolio Management, Vol.30 (Fall), pp. 123-127.

Dowd, K.; Blake, D.; Cairns, A.(2005)., "Simulating DC Outcomes", Investment and Pensions Europe, Vol.October, p. 29.

Dowd, K.; Blake, D.; Cairns, A.(2005)., "PensionMetrics: Designing Defined-Contribution Pension Schemes", Risk, Vol.18 (5), pp. 81-82.

Dowd, K.; Blanco, C.; Mark, R.(2005)., "An Integrated Framework", Futures and Options World, Vol.February, pp.50-55.

Dowd, K.; Blanco, C.; Mark, R.(2005)., "Stress Test", Futures and Options World, Vol.March, pp.58-62.

Kelliher, P.; Bartlett, D.; Chaplin, M.; Dowd, K.; O'Brien, C.(2005)., "Liquidity Risk in Life Insurance", The Actuary, Vol.June, pp. 24-25.



Books

Dowd, K.(2005), Competition and Finance: A New Interpretation of Financial and Monetary Economics, (Chinese Language Edition), China Renmin University Press.

Dowd, K.(2005), Measuring Market Risk, (Second Edition), Chichester and New York, John Wiley and Sons.



Chapters in Books

Blake, D.; Dowd, K.(2008)., "Life Securitization", in Melnick, E.; Everritt, B. (ed) The Encyclopedia of Quantitative Risk Assessment, Wiley, forthcoming 2008.

Dowd, K.(2008)., "Model Risk", in Fabozzi, F. J. (ed) Handbook of Finance, Wiley, forthcoming 2008.

Dowd, K.(2008)., "Backtesting Market Risk Models", in Fabozzi, F. J. (ed) Handbook of Finance, Wiley, forthcoming 2008.

Dowd, K.(2007)., "A Moment-based Procedure for Evaluating Risk Forecasting Models", in Satchell, S. (ed) Analytics of Risk Model Validation, (Chapter 4), pp. 45-59, Elsevier.

Blanco, C.; Mark, R.; Dowd, K.; Kremke, K.(2006)., "Liquidity Risk Management and Management for Energy Firms", in Fusaro, P. (ed) The Professional Risk Manager's Guide to Energy and Environmental Markets Risk Management, pp. 135-146, Wilmington DE., PRIMA Publications, Chapter 10.

Blanco, C.; Mark, R.; Dowd, K.; Murdoch, W.(2006)., "Best Practices in Credit Risk Management for Energy and Commodity Derivatives", in Fusaro, P. (ed) The Professional Risk Manager's Guide to Energy and Environmental Markets Risk Management, pp. 83-96, Wilmington DE, PRIMA Publications, Chapter 7.

Blanco, C.; Mark, R.; Dowd, K.; Murdoch, W.(2006)., "Market Risk Measurement and Management for Energy Firms", in Fusaro, P. (ed) The Professional Risk Manager's Guide to Energy and Environmental Markets Risk Management, pp. 62-82, Wilmington DE, PRIMA Publications, Chapter 6.

Dowd, K.(2006)., "Retrospective Assessment of Value-at-Risk", in Risk Management: A Modern Perspective, pp. 183-202, San Diego, Elsevier.

Dowd, K.(2006)., "Forecasting Inflation: The Inflation 'Fan Charts", in Issues in Monetary Policy: The Relationship Between Money and Financial Markets, pp. 80-93, Chichester, John Wiley & Sons.



Conferences

Humphrey, C.; Woods, M.; Dowd, K., 2009, "See and be seen", at Financial Services Focus, ICAEW, London, June.

Humphrey, C.; Woods, M.; Dowd, K., 2009, "Greater visibility (II)", at Financial Services Focus, ICAEW, London, July/August.



Discussion Papers

Cairnes, A.; Blake, D.; Dowd, K.; Coughlan, G.; Epstein, D.; Ong, A.; Balevich, I., 2007, "A Quantitative Comparison of Stochastic Mortality Models Using Data from England & Wales and the United States", Pensions Institute Discussion Paper.

Cairns, A.; Blake, D.; Dowd, K., 2006, "Pricing Death Frameworks for the Valuation and Securitization of Mortality Risk", CRIS Discussion Paper.

Dowd, K., 2006, "Too Good to be True? The (In)credibility of the UK Inflation Fan Charts", CRIS Discussion Paper.

Dowd, K.; Blake, D., 2006, "After VaR The Theory, Estimation, and Insurance Applications of Quantile- Based Risk Measures", CRIS Discussion Paper.

Cairns, A.; Blake, D.; Dowd, K., 2005, "Mortality-Dependent Financial Risk Measures", CRIS Discussion Paper.

Cairns, A.; Blake, D.; Dowd, K., 2005, "A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty", CRIS Discussion Paper.

Cotter, J.; Dowd, K., 2005, "Extreme Spectral Risk Measures An Application to Futures Clearinghouse Margin Requirements", CRIS Discussion Paper.

Dowd, K., 2005, "A Moment-based Procedure for Evaluating Risk Forecasting Models", CRIS Discussion Paper.

Dowd, K., 2005, "Validating multiple-period density forecasting models", CRIS Discussion Paper.

Kelliher, P.; Bartlett, D.; Chaplin, M.; Dowd, K.; O'Brien, C., 2005, "Liquidity management in UK life assurance a discussion paper", Report of the Faculty and Institute of Actuaries Working Paper on Risk Management in UK Life Assurers.



Reports for external body

Bartlett, D.; Chaplin, M.; Dowd, K.; Kelliher, P.; O'Brien, C., 2005, "Risk Management by UK Life Assurers: A Survey", in Report for the Faculty and Institute of Actuaries Working Party on Risk Management in UK Life Assurers.

 

 

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