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Conditional value-at-risk for general loss distributions

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Author Info
Rockafellar, R. Tyrrell
Uryasev, Stanislav
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 26 (2002)
Issue (Month): 7 (July)
Pages: 1443-1471
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Handle: RePEc:eee:jbfina:v:26:y:2002:i:7:p:1443-1471

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  2. Alejandro Balbas & Esperanza H. Montagut & Maria Jose Perez Fructuoso, 2004. "Hedging bond portfolios versus infinitely many ranked factors of risk," Business Economics Working Papers wb043312, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
  3. Yafeng Yin, 2008. "A Scenario-based Model for Fleet Allocation of Freeway Service Patrols," Networks and Spatial Economics, Springer, vol. 8(4), pages 407-417, December. [Downloadable!] (restricted)
  4. Mingxin Xu, 2006. "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, vol. 2(1), pages 51-71, January. [Downloadable!] (restricted)
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  5. Dominique Guegan & Cyril Caillault, 2008. "Forecasting VaR and Expected shortfall using dynamical Systems : a risk Management Strategy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00185374_v1, HAL. [Downloadable!]
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  6. Maldonado, Diego & Pazmiño , Mariela, 2008. "Nuevas Herramientas para la Administración del Riesgo Crediticio: El caso de una Cartera Crediticia Ecuatoriana
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  7. Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series 2002-55, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  8. Ferstl, Robert & Weissensteiner, Alex, 2009. "Asset-Liability Management under time-varying Investment Opportunities," MPRA Paper 15068, University Library of Munich, Germany, revised 25 May 2009. [Downloadable!]
  9. Tilke, Stephan, 2006. "Reducing asset weights’ volatility by importance sampling in stochastic credit portfolio optimization," Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 417, University of Regensburg, Department of Economics. [Downloadable!]
  10. Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla, 2008. "Managing Contribution and Capital Market Risk in a Funded Public Defined Benefit Plan: Impact of CVaR Cost Constraints," NBER Working Papers 14332, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  11. Tao Pham Dinh & Nguyen Nam & Hoai Le Thi, 2009. "DC programming and DCA for globally solving the value-at-risk," Computational Management Science, Springer, vol. 6(4), pages 477-501, October. [Downloadable!] (restricted)
  12. Michael B. Gordy & Sandeep Juneja, 2008. "Nested simulation in portfolio risk measurement," Finance and Economics Discussion Series 2008-21, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  13. Dirk Tasche & Ursula Theiler, 2003. "Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk," Quantitative Finance Papers cond-mat/0309003, arXiv.org, revised Feb 2004. [Downloadable!]
  14. J. Baixauli & Susana Alvarez, 2006. "Evaluating effects of excess kurtosis on VaR estimates: Evidence for international stock indices," Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 27-46, August. [Downloadable!] (restricted)
  15. Raymond Brummelhuis, 2006. "Auto-Dependence Structure of Arch-Models: Tail Dependence Coefficients," Birkbeck Working Papers in Economics and Finance 0605, Birkbeck, School of Economics, Mathematics & Statistics. [Downloadable!]
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  19. Piotr Jaworski, 2006. "On a subjective approach to risk measurement," Quantitative Finance, Taylor and Francis Journals, vol. 6(6), pages 495-511, December. [Downloadable!] (restricted)
  20. Miguel Carrión & Uwe Gotzes & Rüdiger Schultz, 2009. "Risk aversion for an electricity retailer with second-order stochastic dominance constraints," Computational Management Science, Springer, vol. 6(2), pages 233-250, May. [Downloadable!] (restricted)
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