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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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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 26 (2002)
Issue (Month): 7 (July)
Pages: 1505-1518
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Handle: RePEc:eee:jbfina:v:26:y:2002:i:7:p:1505-1518

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  1. Maria Rosa Nieto & Esther Ruiz, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," Statistics and Econometrics Working Papers ws087326, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  2. Johannes Leitner, 2008. "Fair (intra-bank transfer) prices for credits with stochastic recovery," Annals of Finance, Springer, vol. 4(2), pages 243-253, March. [Downloadable!] (restricted)
  3. Melenberg, Bertrand & Polbennikov, Simon, 2005. "Testing for mean-coherent regular risk spanning," Discussion Paper 99, Tilburg University, Center for Economic Research. [Downloadable!]
  4. Péter Csóka & Jean-Jacques Herings & László Kóczy, 2006. "Coherent Measures of Risk from a General Equilibrium Perspective," IEHAS Discussion Papers 0611, Institute of Economics, Hungarian Academy of Sciences, revised 30 Aug 2006. [Downloadable!]
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  5. Cotter, John & Dowd, Kevin, 2007. "Estimating financial risk measures for futures positions: a non-parametric approach," MPRA Paper 3503, University Library of Munich, Germany. [Downloadable!]
  6. Peter Csoka & P. Jean-Jacques Herings, & Laszlo A. Koczy, 2007. "Stable Allocations of Risk," IEHAS Discussion Papers 0704, Institute of Economics, Hungarian Academy of Sciences. [Downloadable!]
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  7. Henryk, Gzyl & Silvia, Mayoral, 2006. "On a relationship between distorted and spectral risk measures," MPRA Paper 916, University Library of Munich, Germany, revised 28 Jun 2007. [Downloadable!]
  8. Ignacio Cascos & Ilya Molchanov, 2006. "Multivariate risks and depth-trimmed regions," Quantitative Finance Papers math/0606520, arXiv.org, revised Nov 2006. [Downloadable!]
  9. Alexander Cherny & Pavel Grigoriev, 2007. "Dilatation monotone risk measures are law invariant," Finance and Stochastics, Springer, vol. 11(2), pages 291-298, April. [Downloadable!] (restricted)
  10. Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics. [Downloadable!]
  11. Cotter, John & Dowd, Kevin, 2007. "Exponential Spectral Risk Measures," MPRA Paper 3499, University Library of Munich, Germany. [Downloadable!]
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  12. Ignacio Cascos & Ilya Molchanov, 2006. "Multivariate Risks And Depth-Trimmed Regions," Statistics and Econometrics Working Papers ws063815, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  13. Ozun, Alper & Cifter, Atilla & Yilmazer, Sait, 2007. "Filtered Extreme Value Theory for Value-At-Risk Estimation," MPRA Paper 3302, University Library of Munich, Germany. [Downloadable!]
  14. A. Cherny, 2006. "Weighted V@R and its Properties," Finance and Stochastics, Springer, vol. 10(3), pages 367-393, September. [Downloadable!] (restricted)
  15. Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2006. "Bootstrap Unit Root Tests: Comparison and Extensions," Research Memoranda 015, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
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  16. Ignacio Cascos & Ilya Molchanov, 2007. "Multivariate risks and depth-trimmed regions," Finance and Stochastics, Springer, vol. 11(3), pages 373-397, July. [Downloadable!] (restricted)
  17. Alexis Bonnet & Isabelle Nagot, 2005. "Methodology of measuring performance in alternative investment," Cahiers de la Maison des Sciences Economiques b05078, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
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