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Measures of risk

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  • Szego, Giorgio
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 26 (2002)
    Issue (Month): 7 (July)
    Pages: 1253-1272

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    Handle: RePEc:eee:jbfina:v:26:y:2002:i:7:p:1253-1272

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    1. Carr, Peter & Geman, Helyette & Madan, Dilip B., 2001. "Pricing and hedging in incomplete markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 62(1), pages 131-167, October.
    2. Joe, Harry & Hu, Taizhong, 1996. "Multivariate Distributions from Mixtures of Max-Infinitely Divisible Distributions," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 57(2), pages 240-265, May.
    3. Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, Elsevier, vol. 24(1-2), pages 59-117, January.
    4. P. Silvapulle & C. W. J. Granger, 2001. "Large returns, conditional correlation and portfolio diversification: a value-at-risk approach," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 1(5), pages 542-551.
    5. Danielsson, Jon & Jorgensen, Bjorn N. & de Vries, Casper G., 2002. "Incentives for effective risk management," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(7), pages 1407-1425, July.
    6. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 9(3), pages 203-228.
    7. Landsman, Zinoviy & Sherris, Michael, 2001. "Risk measures and insurance premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 103-115, August.
    8. Jones, David, 2000. "Emerging problems with the Basel Capital Accord: Regulatory capital arbitrage and related issues," Journal of Banking & Finance, Elsevier, Elsevier, vol. 24(1-2), pages 35-58, January.
    9. Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(7), pages 1473-1486, July.
    10. Jón Daníelsson & Casper G. de Vries, 1998. "Value-at-Risk and Extreme Returns," Tinbergen Institute Discussion Papers 98-017/2, Tinbergen Institute.
    11. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series, European Central Bank 0075, European Central Bank.
    12. Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(7), pages 1487-1503, July.
    13. Cambanis, Stamatis & Huang, Steel & Simons, Gordon, 1981. "On the theory of elliptically contoured distributions," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 11(3), pages 368-385, September.
    14. A. Sancetta & Satchell, S.E., 2001. "Bernstein Approximations to the Copula Function and Portfolio Optimization," Cambridge Working Papers in Economics 0105, Faculty of Economics, University of Cambridge.
    15. Michael Phelan, 1997. "Probability and Statistics Applied to the Practice of Financial Risk Management: The Case of J.P. Morgan's RiskMetricsâ„¢," Journal of Financial Services Research, Springer, Springer, vol. 12(2), pages 175-200, October.
    16. Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(7), pages 1505-1518, July.
    17. Gordy, Michael B., 2000. "A comparative anatomy of credit risk models," Journal of Banking & Finance, Elsevier, Elsevier, vol. 24(1-2), pages 119-149, January.
    18. Con Keating & Hyun Song Shin & Charles Goodhart & Jon Danielsson, 2001. "An Academic Response to Basel II," FMG Special Papers, Financial Markets Group sp130, Financial Markets Group.
    19. Geman, Helyette, 2002. "Pure jump Levy processes for asset price modelling," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(7), pages 1297-1316, July.
    20. Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H., 1997. "Axiomatic characterization of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 173-183, November.
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    Cited by:
    1. Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2013. "“The use of flexible quantile-based measures in risk assessment”," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics 201323, University of Barcelona, Research Institute of Applied Economics, revised Dec 2013.
    2. Collier, Benjamin, 2013. "Exclusive finance: How unmanaged systemic risk continues to limit financial services for the poor in a booming sector," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C., Agricultural and Applied Economics Association 150433, Agricultural and Applied Economics Association.
    3. Geyser, Mariette & Cutts, Michela, 2007. "SAFEX maize price volatility scrutinised," Agrekon, Agricultural Economics Association of South Africa (AEASA), Agricultural Economics Association of South Africa (AEASA), vol. 46(3), September.
    4. Wong, Woon K., 2008. "Backtesting trading risk of commercial banks using expected shortfall," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(7), pages 1404-1415, July.
    5. repec:ecu:wpaper:2008-04 is not listed on IDEAS
    6. Gatfaoui Hayette, 2004. "How Does Systematic Risk Impact Stocks? A Study On the French Financial Market," Finance, EconWPA 0404003, EconWPA.
    7. Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2013. "“Beyond Value-at-Risk: GlueVaR Distortion Risk Measures”," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics 201302, University of Barcelona, Research Institute of Applied Economics, revised Feb 2013.
    8. Bianchi, Robert J. & Bornholt, Graham & Drew, Michael E. & Howard, Michael F., 2014. "Long-term U.S. infrastructure returns and portfolio selection," Journal of Banking & Finance, Elsevier, Elsevier, vol. 42(C), pages 314-325.
    9. repec:ebl:ecbull:v:4:y:2005:i:16:p:1-9 is not listed on IDEAS
    10. Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2002-55, Board of Governors of the Federal Reserve System (U.S.).
    11. repec:ecu:wpaper:2008-03 is not listed on IDEAS

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