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Spectral measures of risk: A coherent representation of subjective risk aversion

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  • Acerbi, Carlo

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  • Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1505-1518, July.
    • Handle: RePEc:eee:jbfina:v:26:y:2002:i:7:p:1505-1518
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    References listed on IDEAS

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    1. C, R & K, G, 2002. "In this issue ..," The Electricity Journal, Elsevier, vol. 15(7), pages 2-2.
    2. Wang, Shaun, 1996. "Premium Calculation by Transforming the Layer Premium Density," ASTIN Bulletin, Cambridge University Press, vol. 26(1), pages 71-92, May.
    3. Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July.
    4. Carlo Acerbi & Dirk Tasche, 2001. "Expected Shortfall: a natural coherent alternative to Value at Risk," Papers cond-mat/0105191, arXiv.org.
    5. Carlo Acerbi & Dirk Tasche, 2002. "Expected Shortfall: A Natural Coherent Alternative to Value at Risk," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 31(2), pages 379-388, July.
    6. C, R & K, G, 2002. "In this issue ..," The Electricity Journal, Elsevier, vol. 15(10), pages 2-2, December.
    7. C, R & K, G, 2002. "In this issue..," The Electricity Journal, Elsevier, vol. 15(8), pages 2-2, October.
    8. C, R & K, G, 2002. "In this issue ..," The Electricity Journal, Elsevier, vol. 15(9), pages 2-2, November.
    9. C, R & K, G, 2002. "In this issue ..," The Electricity Journal, Elsevier, vol. 15(2), pages 2-2, March.
    10. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    11. C, R & K, G, 2002. "In this issue ..," The Electricity Journal, Elsevier, vol. 15(1), pages 2-2.
    12. Carlo Acerbi & Claudio Nordio & Carlo Sirtori, 2001. "Expected Shortfall as a Tool for Financial Risk Management," Papers cond-mat/0102304, arXiv.org.
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