IDEAS home Printed from https://ideas.repec.org/e/c/pac74.html
   My authors  Follow this author

Carlo Acerbi

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Acerbi Carlo & Simonetti Prospero, 2002. "Portfolio Optimization with Spectral Measures of Risk," Papers cond-mat/0203607, arXiv.org.

    Cited by:

    1. Stelios Bekiros & Nikolaos Loukeris & Iordanis Eleftheriadis & Christos Avdoulas, 2019. "Tail-Related Risk Measurement and Forecasting in Equity Markets," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 783-816, February.
    2. Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Post-Print hal-02312331, HAL.
    3. Benati, Stefano & Rizzi, Romeo, 2007. "A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem," European Journal of Operational Research, Elsevier, vol. 176(1), pages 423-434, January.
    4. Henryk, Gzyl & Silvia, Mayoral, 2006. "On a relationship between distorted and spectral risk measures," MPRA Paper 916, University Library of Munich, Germany.
    5. Jonathan Yu-Meng Li, 2016. "Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization," Papers 1609.04065, arXiv.org.
    6. Mario Brandtner, 2016. "Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke," Management Review Quarterly, Springer, vol. 66(2), pages 75-115, April.
    7. Alois Pichler, 2013. "Premiums And Reserves, Adjusted By Distortions," Papers 1304.0490, arXiv.org.
    8. S. V. Stoyanov & S. T. Rachev & F. J. Fabozzi, 2007. "Optimal Financial Portfolios," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 401-436.
    9. Li, Jing & Xu, Mingxin, 2009. "Minimizing Conditional Value-at-Risk under Constraint on Expected Value," MPRA Paper 26342, University Library of Munich, Germany, revised 25 Oct 2010.
    10. Weiping Wu & Yu Lin & Jianjun Gao & Ke Zhou, 2023. "Mean-variance hybrid portfolio optimization with quantile-based risk measure," Papers 2303.15830, arXiv.org, revised Apr 2023.
    11. Renaud Chicoisne, 2023. "Computational aspects of column generation for nonlinear and conic optimization: classical and linearized schemes," Computational Optimization and Applications, Springer, vol. 84(3), pages 789-831, April.
    12. Liu, Yangyang & Zhou, Jiangxin & Zhou, Qihui & Liu, Chuanquan & Yu, Feng, 2023. "Bidding strategy of integrated energy system considering decision maker’s subjective risk aversion," Applied Energy, Elsevier, vol. 341(C).
    13. Christian Gourieroux & Wei Liu, 2006. "Sensitivity Analysis of Distortion Risk Measures," Working Papers 2006-33, Center for Research in Economics and Statistics.
    14. Brandtner, Mario & Kürsten, Wolfgang, 2015. "Decision making with Expected Shortfall and spectral risk measures: The problem of comparative risk aversion," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 268-280.
    15. Brandtner, Mario & Kürsten, Wolfgang, 2014. "Decision making with Conditional Value-at-Risk and spectral risk measures: The problem of comparative risk aversion," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100615, Verein für Socialpolitik / German Economic Association.

  2. Carlo Acerbi & Dirk Tasche, 2001. "On the coherence of Expected Shortfall," Papers cond-mat/0104295, arXiv.org, revised May 2002.

    Cited by:

    1. Silvia Faroni & Olivier Le Courtois & Krzysztof Ostaszewski, 2022. "Equivalent Risk Indicators: VaR, TCE, and Beyond," Risks, MDPI, vol. 10(8), pages 1-19, July.
    2. Düllmann, Klaus & Puzanova, Natalia, 2011. "Systemic risk contributions: a credit portfolio approach," Discussion Paper Series 2: Banking and Financial Studies 2011,08, Deutsche Bundesbank.
    3. Moshe Shaked & Miguel A. Sordo & Alfonso Suárez-Llorens, 2012. "Global Dependence Stochastic Orders," Methodology and Computing in Applied Probability, Springer, vol. 14(3), pages 617-648, September.
    4. Qingfu Liu & Qian Luo & Yiuman Tse & Yuchi Xie, 2020. "The market quality of commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1751-1766, November.
    5. Bertrand K. Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01020293, HAL.
    6. van Gulick, G. & De Waegenaere, A.M.B. & Norde, H.W., 2010. "Excess Based Allocation of Risk Capital," Other publications TiSEM f9231521-fea7-4524-8fea-8, Tilburg University, School of Economics and Management.
    7. Cai, Zongwu & Wang, Xian, 2008. "Nonparametric estimation of conditional VaR and expected shortfall," Journal of Econometrics, Elsevier, vol. 147(1), pages 120-130, November.
    8. Renaud Chicoisne & Fernando Ordóñez & Daniel Espinoza, 2018. "Risk Averse Shortest Paths: A Computational Study," INFORMS Journal on Computing, INFORMS, vol. 30(3), pages 539-553, August.
    9. Fangyuan Zhang, 2023. "Non-concave portfolio optimization with average value-at-risk," Mathematics and Financial Economics, Springer, volume 17, number 3, June.
    10. Matmoura, Yassine & Penev, Spiridon, 2013. "Multistage optimization of option portfolio using higher order coherent risk measures," European Journal of Operational Research, Elsevier, vol. 227(1), pages 190-198.
    11. Luc, BAUWENS & G., STORTI, 2007. "A Component GARCH Model with Time Varying Weights," Discussion Papers (ECON - Département des Sciences Economiques) 2007012, Université catholique de Louvain, Département des Sciences Economiques.
    12. Cosimo Munari & Stefan Weber & Lutz Wilhelmy, 2023. "Capital requirements and claims recovery: A new perspective on solvency regulation," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 90(2), pages 329-380, June.
    13. Deepak K. Jadhav & Ramanathan Thekke Variyam, 2023. "Modified Expected Shortfall: a Coherent Risk Measure for Elliptical Family of Distributions," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 234-256, May.
    14. Xu, Xiangdong & Chen, Anthony & Cheng, Lin & Yang, Chao, 2017. "A link-based mean-excess traffic equilibrium model under uncertainty," Transportation Research Part B: Methodological, Elsevier, vol. 95(C), pages 53-75.
    15. Serge Darolles & Christian Gouriéroux & Emmanuelle Jay, 2012. "Robust Portfolio Allocation with Systematic Risk Contribution Restrictions," Working Papers 2012-35, Center for Research in Economics and Statistics.
    16. Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2011. "Portfolio selection problems in practice: a comparison between linear and quadratic optimization models," Papers 1105.3594, arXiv.org.
    17. Sander Barendse & Erik Kole & Dick van Dijk, 2019. "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error," Tinbergen Institute Discussion Papers 19-058/III, Tinbergen Institute.
    18. Kuang, Wei, 2023. "The equity-oil hedge: A comparison between volatility and alternative risk frameworks," Energy, Elsevier, vol. 271(C).
    19. Trindade, A. Alexandre & Uryasev, Stan & Shapiro, Alexander & Zrazhevsky, Grigory, 2007. "Financial prediction with constrained tail risk," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3524-3538, November.
    20. Eyden Samunderu & Yvonne T. Murahwa, 2021. "Return Based Risk Measures for Non-Normally Distributed Returns: An Alternative Modelling Approach," JRFM, MDPI, vol. 14(11), pages 1-48, November.
    21. Adil Rengim Cetingoz & Jean-David Fermanian & Olivier Gu'eant, 2022. "Risk Budgeting Portfolios: Existence and Computation," Papers 2211.07212, arXiv.org, revised Sep 2023.
    22. Winter, Peter, 2007. "Managerial Risk Accounting and Control – A German perspective," MPRA Paper 8185, University Library of Munich, Germany.
    23. A. Mbairadjim Moussa & J. Sadefo Kamdem & M. Terraza, 2014. "Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns," Post-Print hal-02901791, HAL.
    24. Annalisa Di Clemente, 2020. "Modeling Portfolio Credit Risk Taking into Account the Default Correlations Using a Copula Approach: Implementation to an Italian Loan Portfolio," JRFM, MDPI, vol. 13(6), pages 1-24, June.
    25. Szego, Giorgio, 2002. "Measures of risk," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1253-1272, July.
    26. Denis Belomestny & Volker Krätschmer, 2017. "Optimal Stopping Under Probability Distortions," Mathematics of Operations Research, INFORMS, vol. 42(3), pages 806-833, August.
    27. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2020. "Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall," International Review of Financial Analysis, Elsevier, vol. 70(C).
    28. Chen, Zhiping & Yang, Li, 2011. "Nonlinearly weighted convex risk measure and its application," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1777-1793, July.
    29. Csóka, P. & Herings, P.J.J. & Kóczy, L.Á., 2007. "Balancedness conditions for exact games," Research Memorandum 040, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    30. Ramponi, Federico Alessandro & Campi, Marco C., 2018. "Expected shortfall: Heuristics and certificates," European Journal of Operational Research, Elsevier, vol. 267(3), pages 1003-1013.
    31. Jaunė, Eglė & Šiaulys, Jonas, 2022. "Asymptotic risk decomposition for regularly varying distributions with tail dependence," Applied Mathematics and Computation, Elsevier, vol. 427(C).
    32. Giacomo Livan & Jun-ichi Inoue & Enrico Scalas, 2012. "On the non-stationarity of financial time series: impact on optimal portfolio selection," Papers 1205.0877, arXiv.org, revised Jul 2012.
    33. Mike K. P. So & Chi-Ming Wong, 2012. "Estimation of multiple period expected shortfall and median shortfall for risk management," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 739-754, March.
    34. Dalla Valle, L. & Giudici, P., 2008. "A Bayesian approach to estimate the marginal loss distributions in operational risk management," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3107-3127, February.
    35. Silvana M. Pesenti, 2022. "Reverse Sensitivity Analysis for Risk Modelling," Risks, MDPI, vol. 10(7), pages 1-23, July.
    36. Marcel Brautigam & Marie Kratz, 2020. "The Impact of the Choice of Risk and Dispersion Measure on Procyclicality," Papers 2001.00529, arXiv.org.
    37. Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Impact of multimodality of distributions on VaR and ES calculations," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01491990, HAL.
    38. M. Kaina & L. Rüschendorf, 2009. "On convex risk measures on L p -spaces," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 475-495, July.
    39. Bianca Raluca Baditoiu & Roxana Ioan & Valentin Partenie Munteanu & Alexandru Buglea, 2023. "Investors’ reactions on the publication of integrated reports. Evidence from European stock markets," E&M Economics and Management, Technical University of Liberec, Faculty of Economics, vol. 26(2), pages 158-171, June.
    40. Asimit, Alexandru V. & Chi, Yichun & Hu, Junlei, 2015. "Optimal non-life reinsurance under Solvency II Regime," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 227-237.
    41. Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & Maasoumi, Esfandiar & McAleer, Michael & Pérez-Amaral, Teodosio, 2019. "Choosing expected shortfall over VaR in Basel III using stochastic dominance," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 95-113.
    42. Uhan, Nelson A., 2015. "Stochastic linear programming games with concave preferences," European Journal of Operational Research, Elsevier, vol. 243(2), pages 637-646.
    43. Jaume Belles‐Sampera & Montserrat Guillén & Miguel Santolino, 2014. "Beyond Value‐at‐Risk: GlueVaR Distortion Risk Measures," Risk Analysis, John Wiley & Sons, vol. 34(1), pages 121-134, January.
    44. Roberto Fontana & Elisa Luciano & Patrizia Semeraro, 2019. "Model Risk in Credit Risk," Papers 1906.06164, arXiv.org.
    45. Bernardina Algieri & Arturo Leccadito, 2020. "CARL and His POT: Measuring Risks in Commodity Markets," Risks, MDPI, vol. 8(1), pages 1-15, March.
    46. Aljinović Zdravka & Trgo Andrea, 2018. "CVaR in Measuring Sector's Risk on the Croatian Stock Exchange," Business Systems Research, Sciendo, vol. 9(2), pages 8-17, July.
    47. Csóka, Péter & Pintér, Miklós, 2010. "On the impossibility of fair risk allocation," MPRA Paper 26515, University Library of Munich, Germany.
    48. Dominique Guegan & Bertrand Hassani, 2014. "Stress Testing Engineering: the real risk measurement?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00951593, HAL.
    49. AMARANTE, Massimiliano, 2013. "A Representation of Risk Measures," Cahiers de recherche 2013-08, Universite de Montreal, Departement de sciences economiques.
    50. van Gulick, Gerwald & De Waegenaere, Anja & Norde, Henk, 2012. "Excess based allocation of risk capital," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 26-42.
    51. Pu Huang & Dharmashankar Subramanian, 2012. "Iterative estimation maximization for stochastic linear programs with conditional value-at-risk constraints," Computational Management Science, Springer, vol. 9(4), pages 441-458, November.
    52. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2015. "A comparison of Expected Shortfall estimation models," Journal of Economics and Business, Elsevier, vol. 78(C), pages 14-47.
    53. Nasini, Stefano & Labbé, Martine & Brotcorne, Luce, 2022. "Multi-market portfolio optimization with conditional value at risk," European Journal of Operational Research, Elsevier, vol. 300(1), pages 350-365.
    54. Sarkar, P. & Wahab, M.I.M. & Fang, L., 2023. "Weather rebate contracts for different risk attitudes of supply chain members," European Journal of Operational Research, Elsevier, vol. 311(1), pages 139-153.
    55. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, January.
    56. Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Impact of multimodality of distributions on VaR and ES calculations," Post-Print halshs-01491990, HAL.
    57. Yu, Jinping & Yang, Xiaofeng & Li, Shenghong, 2009. "Portfolio optimization with CVaR under VG process," Research in International Business and Finance, Elsevier, vol. 23(1), pages 107-116, January.
    58. Alessandra Carleo & Francesco Cesarone & Andrea Gheno & Jacopo Maria Ricci, 2017. "Approximating exact expected utility via portfolio efficient frontiers," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 115-143, November.
    59. Silvana Pesenti & Sebastian Jaimungal, 2020. "Portfolio Optimisation within a Wasserstein Ball," Papers 2012.04500, arXiv.org, revised Jun 2022.
    60. Franco Peracchi & Andrei V. Tanase, 2008. "On estimating the conditional expected shortfall," CEIS Research Paper 122, Tor Vergata University, CEIS, revised 14 Jul 2008.
    61. Stéphane Crépey & Noufel Frikha & Azar Louzi, 2023. "A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-04037328, HAL.
    62. Muteba Mwamba, John & Mhlanga, Isaah, 2013. "Extreme conditional value at risk: a coherent scenario for risk management," MPRA Paper 64387, University Library of Munich, Germany.
    63. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy, 2022. "Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion," Annals of Operations Research, Springer, vol. 313(2), pages 691-712, June.
    64. Malek, Jiri & Nguyen, Duc Khuong & Sensoy, Ahmet & Tran, Quang Van, 2023. "Modeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations," Finance Research Letters, Elsevier, vol. 55(PA).
    65. Eric Beutner & Henryk Zähle, 2018. "Bootstrapping Average Value at Risk of Single and Collective Risks," Risks, MDPI, vol. 6(3), pages 1-30, September.
    66. 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, vol. 42(C), pages 314-325.
    67. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2017. "On a robust risk measurement approach for capital determination errors minimization," Papers 1707.09829, arXiv.org, revised Oct 2020.
    68. Fabio Caccioli & Imre Kondor & G'abor Papp, 2015. "Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error," Papers 1510.04943, arXiv.org.
    69. Marcelo Brutti Righi, 2015. "A composition between risk and deviation measures," Papers 1511.06943, arXiv.org, revised May 2018.
    70. Jakob Kisiala, 2015. "Conditional Value-at-Risk: Theory and Applications," Papers 1511.00140, arXiv.org.
    71. Francesco Cesarone & Jacopo Moretti & Fabio Tardella, 2016. "Optimally chosen small portfolios are better than large ones," Economics Bulletin, AccessEcon, vol. 36(4), pages 1876-1891.
    72. Annaert, Jan & Osselaer, Sofieke Van & Verstraete, Bert, 2009. "Performance evaluation of portfolio insurance strategies using stochastic dominance criteria," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 272-280, February.
    73. Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007. "Tradable measure of risk," MPRA Paper 5059, University Library of Munich, Germany.
    74. Mohamed Ibrahim & Walid Emam & Yusra Tashkandy & M. Masoom Ali & Haitham M. Yousof, 2023. "Bayesian and Non-Bayesian Risk Analysis and Assessment under Left-Skewed Insurance Data and a Novel Compound Reciprocal Rayleigh Extension," Mathematics, MDPI, vol. 11(7), pages 1-26, March.
    75. Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Impact of multimodality of distributions on VaR and ES calculations," Documents de travail du Centre d'Economie de la Sorbonne 17019, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    76. J. ANNAERT & Crispiniano Garcia Joao Batista & J. LAMOOT & G. LANINE, 2006. "Don’t Fall from the Saddle: the Importance of Higher Moments of Credit Loss Distributions," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/367, Ghent University, Faculty of Economics and Business Administration.
    77. Fermanian, Jean-David, 2014. "The limits of granularity adjustments," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 9-25.
    78. Stefano Ciliberti & Imre Kondor & Marc Mezard, 2006. "On the Feasibility of Portfolio Optimization under Expected Shortfall," Papers physics/0606015, arXiv.org.
    79. Hong Shen & Qi Pan & Lili Zhao & Pin Ng, 2022. "Risk Contagion between Global Commodities from the Perspective of Volatility Spillover," Energies, MDPI, vol. 15(7), pages 1-21, March.
    80. Christina Erlwein & Gautam Mitra & Diana Roman, 2012. "HMM based scenario generation for an investment optimisation problem," Annals of Operations Research, Springer, vol. 193(1), pages 173-192, March.
    81. Roger W. Barnard & Kent Pearce & A. Alexandre Trindade, 2018. "When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management," Annals of Operations Research, Springer, vol. 262(1), pages 47-65, March.
    82. Boonen, T.J. & De Waegenaere, A.M.B. & Norde, H.W., 2012. "A Generalization of the Aumann-Shapley Value for Risk Capital Allocation Problems," Discussion Paper 2012-091, Tilburg University, Center for Economic Research.
    83. Péter Csóka & Jean-Jacques Herings & László Kóczy, 2006. "Coherent Measures of Risk from a General Equilibrium Perspective," CERS-IE WORKING PAPERS 0611, Institute of Economics, Centre for Economic and Regional Studies, revised 30 Aug 2006.
    84. Zhiping Chen & Jia Liu & Gang Li & Zhe Yan, 2016. "Composite time-consistent multi-period risk measure and its application in optimal portfolio selection," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(3), pages 515-540, October.
    85. Dirk Tasche, 2015. "Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds," Papers 1505.07484, arXiv.org, revised Nov 2015.
    86. Fu, Tianwen & Zhuang, Xinkai & Hui, Yongchang & Liu, Jia, 2017. "Convex risk measures based on generalized lower deviation and their applications," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 27-37.
    87. Breuer, Thomas & Jandacka, Martin & Rheinberger, Klaus & Summer, Martin, 2010. "Does adding up of economic capital for market- and credit risk amount to conservative risk assessment?," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 703-712, April.
    88. Guillén, Montserrat & Sarabia, José María & Prieto, Faustino, 2013. "Simple risk measure calculations for sums of positive random variables," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 273-280.
    89. Marie Kratz & Yen H. Lok & Alexander J McNeil, 2016. "Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall," Papers 1611.04851, arXiv.org.
    90. Nicola Loperfido & Tomer Shushi, 2023. "Optimal Portfolio Projections for Skew-Elliptically Distributed Portfolio Returns," Journal of Optimization Theory and Applications, Springer, vol. 199(1), pages 143-166, October.
    91. Gordy, Michael B., 2003. "A risk-factor model foundation for ratings-based bank capital rules," Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 199-232, July.
    92. Broda, Simon A. & Krause, Jochen & Paolella, Marc S., 2018. "Approximating expected shortfall for heavy-tailed distributions," Econometrics and Statistics, Elsevier, vol. 8(C), pages 184-203.
    93. Piero Quatto & Gianmarco Vacca & Maria Grazia Zoia, 2021. "Modeling Portfolios with Leptokurtic and Dependent Risk Factors," Papers 2106.04218, arXiv.org.
    94. Alfonso Novales & Laura Garcia-Jorcano, 2019. "Backtesting Extreme Value Theory models of expected shortfall," Documentos de Trabajo del ICAE 2019-24, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    95. Sonia Benito Muela & Mª Ángeles Navarro, 2018. "Assessing the importance of the choice threshold in quantifying market risk under the POT method (EVT)," Documentos de Trabajo del ICAE 2018-20, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    96. Marcell Béli & Kata Váradi, 2017. "A possible methodology for determining the initial margin," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 16(2), pages 119-147.
    97. Acerbi Carlo & Simonetti Prospero, 2002. "Portfolio Optimization with Spectral Measures of Risk," Papers cond-mat/0203607, arXiv.org.
    98. Ferreiro Javier Ojea, 2019. "Structural change in the link between oil and the European stock market: implications for risk management," Dependence Modeling, De Gruyter, vol. 7(1), pages 53-125, January.
    99. Zhao, Lima & Huchzermeier, Arnd, 2017. "Integrated operational and financial hedging with capacity reshoring," European Journal of Operational Research, Elsevier, vol. 260(2), pages 557-570.
    100. Jens Leth Hougaard & Aleksandrs Smilgins, 2014. "Risk Capital Allocation: The Lorenz Set," MSAP Working Paper Series 03_2014, University of Copenhagen, Department of Food and Resource Economics.
    101. D Barrera & S Cr'epey & E Gobet & Hoang-Dung Nguyen & B Saadeddine, 2022. "Learning Value-at-Risk and Expected Shortfall," Papers 2209.06476, arXiv.org.
    102. Maciej J. Capi'nski, 2014. "Hedging Conditional Value at Risk with Options," Papers 1408.6673, arXiv.org, revised Apr 2015.
    103. Huang, Jinbo & Li, Yong & Yao, Haixiang, 2018. "Index tracking model, downside risk and non-parametric kernel estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 103-128.
    104. Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," JRFM, MDPI, vol. 10(1), pages 1-14, February.
    105. Christos E. Kountzakis & Damiano Rossello, 2022. "Monetary risk measures for stochastic processes via Orlicz duality," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 35-56, June.
    106. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2007. "Mean-variance portfolio selection with `at-risk' constraints and discrete distributions," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3761-3781, December.
    107. Rossignolo, Adrian F. & Fethi, Meryem Duygun & Shaban, Mohamed, 2012. "Value-at-Risk models and Basel capital charges," Journal of Financial Stability, Elsevier, vol. 8(4), pages 303-319.
    108. Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Post-Print hal-02312331, HAL.
    109. Mohammed Bilal Girach & Shashank Oberoi & Siddhartha P. Chakrabarty, 2021. "Is Being “Robust” Beneficial? A Perspective from the Indian Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 469-497, December.
    110. Timo Dimitriadis & Xiaochun Liu & Julie Schnaitmann, 2020. "Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary," Papers 2009.07341, arXiv.org.
    111. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Didier Maillard, 2019. "Computation of the corrected Cornish–Fisher expansion using the response surface methodology: application to VaR and CVaR," Annals of Operations Research, Springer, vol. 281(1), pages 423-453, October.
    112. Csóka, Péter & Herings, P. Jean-Jacques & Kóczy, László Á., 2009. "Stable allocations of risk," Games and Economic Behavior, Elsevier, vol. 67(1), pages 266-276, September.
    113. Balog, Dóra & Bátyi, Tamás László & Csóka, Péter & Pintér, Miklós, 2014. "Properties of risk capital allocation methods: Core Compatibility, Equal Treatment Property and Strong Monotonicity," Corvinus Economics Working Papers (CEWP) 2014/13, Corvinus University of Budapest.
    114. Bernardi, Mauro, 2012. "Risk measures for Skew Normal mixtures," MPRA Paper 39828, University Library of Munich, Germany.
    115. Laurent Gardes & Stéphane Girard, 2021. "On the estimation of the variability in the distribution tail," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(4), pages 884-907, December.
    116. Michele Bonollo & Irene Crimaldi & Andrea Flori & Fabio Pammolli & Massimo Riccaboni, 2014. "Systemic importance of financial institutions: from a global to a local perspective? A network theory approach," Working Papers 9/2014, IMT School for Advanced Studies Lucca, revised Sep 2014.
    117. Aloui, Chaker & Hamida, Hela ben, 2014. "Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 349-380.
    118. John Armstrong & Damiano Brigo, 2019. "The ineffectiveness of coherent risk measures," Papers 1902.10015, arXiv.org, revised Oct 2020.
    119. Weiping Li & Guotai Chi & Bin Meng, 2016. "Short and Long Term Value at Risk, Skewness, Kurtosis and Coherent Risk Measure," Applied Economics and Finance, Redfame publishing, vol. 3(3), pages 65-80, August.
    120. Dimitris Bertsimas & David B. Brown, 2009. "Constructing Uncertainty Sets for Robust Linear Optimization," Operations Research, INFORMS, vol. 57(6), pages 1483-1495, December.
    121. Mihaly Ormos & Dusan Timotity, 2017. "The case of 'Less is more': Modelling risk-preference with Expected Downside Risk," Papers 1704.05332, arXiv.org.
    122. Johannes Leitner, 2008. "Risk-adjusted value allocation for (non-traded) assets with performance ratios," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 93-102.
    123. Mingxin Xu, 2006. "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, vol. 2(1), pages 51-71, January.
    124. Caccioli, Fabio & Kondor, Imre & Papp, Gábor, 2015. "Portfolio optimization under expected shortfall: contour maps of estimation error," LSE Research Online Documents on Economics 119463, London School of Economics and Political Science, LSE Library.
    125. Dominique Guegan & Bertrand Hassani, 2014. "Stress Testing Engineering: the real risk measurement?," Post-Print halshs-00951593, HAL.
    126. Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2015. "The use of flexible quantile-based measures in risk assessment," Working Papers 2014-09, Universitat de Barcelona, UB Riskcenter.
    127. Wächter, Hans Peter & Mazzoni, Thomas, 2013. "Consistent modeling of risk averse behavior with spectral risk measures," European Journal of Operational Research, Elsevier, vol. 229(2), pages 487-495.
    128. Iulia Lupu & Ana Barbara Bobirca & Paul Gabriel Miclaus & Tudor Ciumara, 2020. "Risk Management of Companies Included in the EURO STOXX Sustainability Index. An Investors' Perception," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 22(55), pages 707-707, August.
    129. Christos Floros & Konstantinos Gkillas & Christos Kountzakis, 2022. "Generalized Johnson Distributions and Risk Functionals," Mathematics, MDPI, vol. 10(17), pages 1-12, September.
    130. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Risk Measures," Risk and Insurance 0407002, University Library of Munich, Germany.
    131. Vona Mate, 2014. "Modern Risk Measures For Individual Higher Education Investment Risk Evaluation," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 773-780, July.
    132. Fabio Busetti & Michele Caivano & Davide Delle Monache & Claudia Pacella, 2020. "The time-varying risk of Italian GDP," Temi di discussione (Economic working papers) 1288, Bank of Italy, Economic Research and International Relations Area.
    133. Gao, Huan & Mamon, Rogemar & Liu, Xiaoming, 2017. "Risk measurement of a guaranteed annuity option under a stochastic modelling framework," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 132(C), pages 100-119.
    134. Katarzyna Sum, 2016. "A review of individual and systemic risk measures in terms of applicability for banking regulations," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 10(1), March.
    135. Manuel Kleinknecht & Wing Lon Ng, 2015. "Minimizing Basel III Capital Requirements with Unconditional Coverage Constraint," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 22(4), pages 263-281, October.
    136. Juan Arismendi & Simon Broda, 2016. "Multivariate Elliptical Truncated Moments," ICMA Centre Discussion Papers in Finance icma-dp2016-06, Henley Business School, University of Reading.
    137. H. Ben Ameur & Jean-Luc Prigent, 2018. "Risk management of time varying floors for dynamic portfolio insurance," Post-Print hal-03679408, HAL.
    138. Arman Abgaryan & Utkarsh Sharma & Joshua Tobkin, 2024. "Proof of Efficient Liquidity: A Staking Mechanism for Capital Efficient Liquidity," Papers 2401.04521, arXiv.org, revised Feb 2024.
    139. Peña, Juan Ignacio & Rodríguez, Rosa & Mayoral, Silvia, 2020. "Tail risk of electricity futures," Energy Economics, Elsevier, vol. 91(C).
    140. Alessandro Staino & Emilio Russo & Massimo Costabile & Arturo Leccadito, 2023. "Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint," Computational Management Science, Springer, vol. 20(1), pages 1-32, December.
    141. Xu, Liang & Gao, Chunyan & Kou, Gang & Liu, Qinjun, 2017. "Comonotonic approximation to periodic investment problems under stochastic drift," European Journal of Operational Research, Elsevier, vol. 262(1), pages 251-261.
    142. Paulusch, Joachim & Schlütter, Sebastian, 2022. "Sensitivity-implied tail-correlation matrices," Journal of Banking & Finance, Elsevier, vol. 134(C).
    143. Ahmed, Dilan & Soleymani, Fazlollah & Ullah, Malik Zaka & Hasan, Hataw, 2021. "Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution," Applied Mathematics and Computation, Elsevier, vol. 402(C).
    144. Jing Li & Mingxin Xu, 2013. "Optimal Dynamic Portfolio with Mean-CVaR Criterion," Risks, MDPI, vol. 1(3), pages 1-29, November.
    145. Maria Stefanova, 2012. "Recovery Risiko in der Kreditportfoliomodellierung," Springer Books, Springer, number 978-3-8349-4226-5, September.
    146. 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.
    147. Jean-David Fermanian, 2013. "The Limits of Granularity Adjustments," Working Papers 2013-27, Center for Research in Economics and Statistics.
    148. Juan Carlos Escanciano & Zaichao Du, 2015. "Backtesting Expected Shortfall: Accounting for Tail Risk," CAEPR Working Papers 2015-001, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    149. Tadese, Mekonnen & Drapeau, Samuel, 2020. "Relative bound and asymptotic comparison of expectile with respect to expected shortfall," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 387-399.
    150. Stavros Stavroyiannis, 2017. "Value-at-Risk and Expected Shortfall for the major digital currencies," Papers 1708.09343, arXiv.org.
    151. Dominique Guegan & Bertrand Hassani, 2014. "Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions," Post-Print halshs-00969242, HAL.
    152. Bertrand K Hassani, 2015. "Model Risk - From Epistemology to Management. Ipse se nihil scire id unum sciat. (Socrates' Plato)," Documents de travail du Centre d'Economie de la Sorbonne 15026, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    153. Paul Embrechts & Giovanni Puccetti & Ludger Rüschendorf & Ruodu Wang & Antonela Beleraj, 2014. "An Academic Response to Basel 3.5," Risks, MDPI, vol. 2(1), pages 1-24, February.
    154. Wojciech Antoniak, 2013. "Wpływ reasekuracji i retrocesji na własności składek," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 31, pages 77-97.
    155. Rácz, Dávid Andor, 2019. "Abszolút hozamú befektetési alapok teljesítményének értékelése - a teljesítménymanipulálás kimutatása [Performance evaluation of absolute return funds - Detecting performance manipulation]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 824-846.
    156. Taguedong, Sylvain Chamberlain, 2009. "Behavioral approach to market and default risks modeling," MPRA Paper 20641, University Library of Munich, Germany.
    157. Imre Kondor & Andras Szepessy & Tunde Ujvarosi, 2003. "Concave risk measures in international capital regulation," Papers cond-mat/0307244, arXiv.org.
    158. Nicole Bäuerle & Jonathan Ott, 2011. "Markov Decision Processes with Average-Value-at-Risk criteria," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 74(3), pages 361-379, December.
    159. Stijn Claessens & Jerome Kreuser, 2007. "Strategic foreign reserves risk management: Analytical framework," Annals of Operations Research, Springer, vol. 152(1), pages 79-113, July.
    160. Alessandro Ramponi, 2016. "On a Transform Method for the Efficient Computation of Conditional V@R (and V@R) with Application to Loss Models with Jumps and Stochastic Volatility," Methodology and Computing in Applied Probability, Springer, vol. 18(2), pages 575-596, June.
    161. Ettlin, Nicolas & Farkas, Walter & Kull, Andreas & Smirnow, Alexander, 2020. "Optimal risk-sharing across a network of insurance companies," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 39-47.
    162. Karl Michael Ortmann, 2016. "The link between the Shapley value and the beta factor," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 39(2), pages 311-325, November.
    163. Xia, Zichao & Zou, Zhenfeng & Hu, Taizhong, 2023. "Inf-convolution and optimal allocations for mixed-VaRs," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 156-164.
    164. Shuo Gong & Yijun Hu & Linxiao Wei, 2022. "Distortion risk measures in random environments: construction and axiomatic characterization," Papers 2211.00520, arXiv.org, revised Mar 2023.
    165. Adrián F. Rossignolo, 2021. "The New Standardised Approach as a Credible Fallback," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(TNEA), pages 1-27, Septiembr.
    166. Michele Bonollo & Irene Crimaldi & Andrea Flori & Fabio Pammolli & Massimo Riccaboni, 2014. "Systemic importance of financial institutions: regulations, research, open issues, proposals," Working Papers 2/2014, IMT School for Advanced Studies Lucca, revised Mar 2014.
    167. Bertrand K Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Documents de travail du Centre d'Economie de la Sorbonne 14037, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    168. Andreas H. Hamel & Birgit Rudloff & Mihaela Yankova, 2012. "Set-valued average value at risk and its computation," Papers 1202.5702, arXiv.org, revised Jan 2013.
    169. Kratz, Marie & Lok, Y-H & McNeil, Alexander J., 2016. "Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall," ESSEC Working Papers WP1617, ESSEC Research Center, ESSEC Business School.
    170. Xu, Xiangdong & Chen, Anthony & Cheng, Lin & Lo, Hong K., 2014. "Modeling distribution tail in network performance assessment: A mean-excess total travel time risk measure and analytical estimation method," Transportation Research Part B: Methodological, Elsevier, vol. 66(C), pages 32-49.
    171. Zongxin Li & Xinge Li & Yongchang Hui & Wing-Keung Wong, 2018. "Maslow Portfolio Selection for Individuals with Low Financial Sustainability," Sustainability, MDPI, vol. 10(4), pages 1-11, April.
    172. Suzanne Emmer & Marie Kratz & Dirk Tasche, 2013. "What Is the Best Risk Measure in Practice? A Comparison of Standard Measures," Working Papers hal-00921283, HAL.
    173. Carlo Acerbi & Dirk Tasche, 2001. "Expected Shortfall: a natural coherent alternative to Value at Risk," Papers cond-mat/0105191, arXiv.org.
    174. Chaoubi, Ihsan & Cossette, Hélène & Gadoury, Simon-Pierre & Marceau, Etienne, 2020. "On sums of two counter-monotonic risks," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 47-60.
    175. Francq, Christian & Zakoian, Jean-Michel, 2012. "Risk-parameter estimation in volatility models," MPRA Paper 41713, University Library of Munich, Germany.
    176. Gabriele Canna & Francesca Centrone & Emanuela Rosazza Gianin, 2021. "Capital Allocation Rules and the No-Undercut Property," Mathematics, MDPI, vol. 9(2), pages 1-13, January.
    177. Taylor, James W., 2022. "Forecasting Value at Risk and expected shortfall using a model with a dynamic omega ratio," Journal of Banking & Finance, Elsevier, vol. 140(C).
    178. Mathieu Cambou & Damir Filipović, 2018. "Replicating portfolio approach to capital calculation," Finance and Stochastics, Springer, vol. 22(1), pages 181-203, January.
    179. Bruno Bouchard & Adil Reghai & Benjamin Virrion, 2021. "Computation of Expected Shortfall by fast detection of worst scenarios," Post-Print hal-02619589, HAL.
    180. Bertrand K. Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Post-Print halshs-01020293, HAL.
    181. Kratz , Marie, 2013. "There is a VaR Beyond Usual Approximations," ESSEC Working Papers WP1317, ESSEC Research Center, ESSEC Business School.
    182. Samuel Solgon Santos & Marcelo Brutti Righi & Eduardo de Oliveira Horta, 2022. "The limitations of comonotonic additive risk measures: a literature review," Papers 2212.13864, arXiv.org, revised Jan 2024.
    183. Shushang Zhu & Masao Fukushima, 2009. "Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management," Operations Research, INFORMS, vol. 57(5), pages 1155-1168, October.
    184. Weiß, Gregor N.F., 2011. "Are Copula-GoF-tests of any practical use? Empirical evidence for stocks, commodities and FX futures," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 173-188, May.
    185. Fantazzini, Dean & Shangina, Tamara, 2019. "The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 55, pages 5-31.
    186. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2022. "Spillover effects between commodity and stock markets: A SDSES approach," Resources Policy, Elsevier, vol. 79(C).
    187. José Daniel López-Barrientos & Ekaterina Viktorovna Gromova & Ekaterina Sergeevna Miroshnichenko, 2020. "Resource Exploitation in a Stochastic Horizon under Two Parametric Interpretations," Mathematics, MDPI, vol. 8(7), pages 1-29, July.
    188. Jamie Fairbrother & Amanda Turner & Stein W. Wallace, 2018. "Scenario Generation for Single-Period Portfolio Selection Problems with Tail Risk Measures: Coping with High Dimensions and Integer Variables," INFORMS Journal on Computing, INFORMS, vol. 30(3), pages 472-491, August.
    189. Marie Kratz, 2013. "There is a VaR beyond usual approximations," Papers 1311.0270, arXiv.org.
    190. Saralees Nadarajah & Bo Zhang & Stephen Chan, 2014. "Estimation methods for expected shortfall," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 271-291, February.
    191. Dedecker, Jérôme & Merlevède, Florence, 2021. "Almost sure invariance principle for the Kantorovich distance between the empirical and the marginal distributions of strong mixing sequences," Statistics & Probability Letters, Elsevier, vol. 171(C).
    192. Huang, Dashan & Zhu, Shu-Shang & Fabozzi, Frank J. & Fukushima, Masao, 2008. "Portfolio selection with uncertain exit time: A robust CVaR approach," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 594-623, February.
    193. Osmundsen, Kjartan Kloster, 2018. "Using expected shortfall for credit risk regulation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 80-93.
    194. Ma, Chenghu & Wong, Wing-Keung, 2010. "Stochastic dominance and risk measure: A decision-theoretic foundation for VaR and C-VaR," European Journal of Operational Research, Elsevier, vol. 207(2), pages 927-935, December.
    195. Labopin-Richard T. & Gamboa F. & Garivier A. & Iooss B., 2016. "Bregman superquantiles. Estimation methods and applications," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-33, March.
    196. Dorinel Bastide & Stéphane Crépey & Samuel Drapeau & Mekonnen Tadese, 2022. "Derivatives Risks as Costs in a One-Period Network Model," Working Papers hal-03554577, HAL.
    197. Dimitrios G. Konstantinides & Georgios C. Zachos, 2019. "Exhibiting Abnormal Returns Under a Risk Averse Strategy," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 551-566, June.
    198. James, Robert & Leung, Henry & Leung, Jessica Wai Yin & Prokhorov, Artem, 2023. "Forecasting tail risk measures for financial time series: An extreme value approach with covariates," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 29-50.
    199. Karthik Natarajan & Dongjian Shi & Kim-Chuan Toh, 2014. "A Probabilistic Model for Minmax Regret in Combinatorial Optimization," Operations Research, INFORMS, vol. 62(1), pages 160-181, February.
    200. Annika Homburg & Christian H. Weiß & Gabriel Frahm & Layth C. Alwan & Rainer Göb, 2021. "Analysis and Forecasting of Risk in Count Processes," JRFM, MDPI, vol. 14(4), pages 1-25, April.
    201. Naimoli, Antonio & Gerlach, Richard & Storti, Giuseppe, 2022. "Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators," Economic Modelling, Elsevier, vol. 107(C).
    202. Papalamprou, Konstantinos & Antoniou, Paschalis, 2019. "Estimation of capital requirements in downturn conditions via the CBV model: Evidence from the Greek banking sector," Operations Research Perspectives, Elsevier, vol. 6(C).
    203. Asimit, Alexandru V. & Badescu, Alexandru M. & Cheung, Ka Chun, 2013. "Optimal reinsurance in the presence of counterparty default risk," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 690-697.
    204. Lamb, John D. & Tee, Kai-Hong, 2012. "Data envelopment analysis models of investment funds," European Journal of Operational Research, Elsevier, vol. 216(3), pages 687-696.
    205. Fantazzini, Dean, 2008. "An Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 10(2), pages 91-137.
    206. Silvia Faroni & Olivier Le Courtois & Krzysztof Ostaszewski, 2022. "Equivalent Risk Indicators : VaR, TCE, and Beyond," Post-Print hal-04325627, HAL.
    207. Hougaard, Jens Leth & Smilgins, Aleksandrs, 2016. "Risk capital allocation with autonomous subunits: The Lorenz set," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 151-157.
    208. Csóka, Péter & Bátyi, Tamás László & Pintér, Miklós & Balog, Dóra, 2011. "Tőkeallokációs módszerek és tulajdonságaik a gyakorlatban [Methods of capital allocation and their characteristics in practice]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 619-632.
    209. So Yeon Chun & Alexander Shapiro & Stan Uryasev, 2012. "Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics," Operations Research, INFORMS, vol. 60(4), pages 739-756, August.
    210. Liu, Ruipeng & Lux, Thomas, 2010. "Flexible and robust modelling of volatility comovements: a comparison of two multifractal models," Kiel Working Papers 1594, Kiel Institute for the World Economy (IfW Kiel).
    211. Christian Fries & Lennart Quante, 2023. "Intergenerational Equity in Models of Climate Change Mitigation: Stochastic Interest Rates introduce Adverse Effects, but (Non-linear) Funding Costs can Improve Intergenerational Equity," Papers 2309.16186, arXiv.org, revised Sep 2023.
    212. Karma, Otto & Sander, Priit, 2006. "The impact of financial leverage on risk of equity measured by loss-oriented risk measures: An option pricing approach," European Journal of Operational Research, Elsevier, vol. 175(3), pages 1340-1356, December.
    213. Leorato, Samantha & Peracchi, Franco & Tanase, Andrei V., 2012. "Asymptotically efficient estimation of the conditional expected shortfall," Computational Statistics & Data Analysis, Elsevier, vol. 56(4), pages 768-784.
    214. Joaquin, Domingo Castelo, 2009. "Value at risk: Is a theoretically consistent axiomatic formulation possible?," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 725-729, May.
    215. Matteo Burzoni & Cosimo Munari & Ruodu Wang, 2020. "Adjusted Expected Shortfall," Papers 2007.08829, arXiv.org, revised Aug 2021.
    216. Matthias Fischer & Thorsten Moser & Marius Pfeuffer, 2018. "A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations," Risks, MDPI, vol. 6(4), pages 1-28, December.
    217. Michel Verlaine, 2010. "Risk Governance for funds," Cahiers du CEREFIGE 1003, CEREFIGE (Centre Europeen de Recherche en Economie Financiere et Gestion des Entreprises), Universite de Lorraine, revised 2010.
    218. Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Scholarly Articles 2624460, Harvard University Department of Economics.
    219. Francesco Cesarone & Manuel L. Martino & Fabio Tardella, 2023. "Mean-Variance-VaR portfolios: MIQP formulation and performance analysis," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(3), pages 1043-1069, September.
    220. Chen, Anthony & Zhou, Zhong & Lam, William H.K., 2011. "Modeling stochastic perception error in the mean-excess traffic equilibrium model," Transportation Research Part B: Methodological, Elsevier, vol. 45(10), pages 1619-1640.
    221. Susanne Emmer & Marie Kratz & Dirk Tasche, 2013. "What is the best risk measure in practice? A comparison of standard measures," Papers 1312.1645, arXiv.org, revised Apr 2015.
    222. Breuer, Thomas & Jandacka, Martin & Rheinberger, Klaus & Summer, Martin, 2008. "Regulatory capital for market and credit risk interaction: is current regulation always conservative?," Discussion Paper Series 2: Banking and Financial Studies 2008,14, Deutsche Bundesbank.
    223. Gauvin, Charles & Delage, Erick & Gendreau, Michel, 2017. "Decision rule approximations for the risk averse reservoir management problem," European Journal of Operational Research, Elsevier, vol. 261(1), pages 317-336.
    224. Arthur Charpentier & Abder Oulidi, 2009. "Estimating allocations for Value-at-Risk portfolio optimization," Post-Print halshs-00347250, HAL.
    225. Tilke, Stephan, 2006. "Reducing Asset Weights' Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization," University of Regensburg Working Papers in Business, Economics and Management Information Systems 417, University of Regensburg, Department of Economics.
    226. Kerkhof, F.L.J. & Melenberg, B., 2002. "Backtesting for Risk-Based Regulatory Capital," Other publications TiSEM 2363cf81-9720-41f2-913c-f, Tilburg University, School of Economics and Management.
    227. Dylan Troop & Frédéric Godin & Jia Yuan Yu, 2022. "Best-Arm Identification Using Extreme Value Theory Estimates of the CVaR," JRFM, MDPI, vol. 15(4), pages 1-15, April.
    228. Dávid Zoltán Szabó & Zsolt Bihary, 2023. "The riskiness of stock versus money market investment with stochastic rates," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 31(2), pages 393-415, June.
    229. Cyril Bénézet & Stéphane Crépey & Dounia Essaket, 2023. "Hedging Valuation Adjustment for Callable Claims," Working Papers hal-04057045, HAL.
    230. Hajo Holzmann & Matthias Eulert, 2014. "The role of the information set for forecasting - with applications to risk management," Papers 1404.7653, arXiv.org.
    231. Bannör, Karl & Kiesel, Rüdiger & Nazarova, Anna & Scherer, Matthias, 2016. "Parametric model risk and power plant valuation," Energy Economics, Elsevier, vol. 59(C), pages 423-434.
    232. Brandtner, Mario & Kürsten, Wolfgang & Rischau, Robert, 2020. "Beyond expected utility: Subjective risk aversion and optimal portfolio choice under convex shortfall risk measures," European Journal of Operational Research, Elsevier, vol. 285(3), pages 1114-1126.
    233. Liu, Jinjing, 2023. "A novel downside beta and expected stock returns," International Review of Financial Analysis, Elsevier, vol. 85(C).
    234. Mélina Mailhot & Mhamed Mesfioui, 2016. "Multivariate TVaR-Based Risk Decomposition for Vector-Valued Portfolios," Risks, MDPI, vol. 4(4), pages 1-16, September.
    235. Gürtler, Marc & Hibbeln, Martin & Vöhringer, Clemens, 2007. "Measuring concentration risk for regulatory purposes," Working Papers IF26V4, Technische Universität Braunschweig, Institute of Finance.
    236. Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2015. "Linear vs. quadratic portfolio selection models with hard real-world constraints," Computational Management Science, Springer, vol. 12(3), pages 345-370, July.
    237. Bertrand Rime, 2007. "Could Regional and Cantonal Banks Reduce Credit Risk through National Diversification?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 143(I), pages 49-65, March.
    238. Mario Brandtner, 2016. "Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke," Management Review Quarterly, Springer, vol. 66(2), pages 75-115, April.
    239. S. Broda & Juan Carlos Arismendi-Zambrano, 2020. "On Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors∗," Economics Department Working Paper Series n302-20.pdf, Department of Economics, National University of Ireland - Maynooth.
    240. Haitham M. Yousof & Yusra Tashkandy & Walid Emam & M. Masoom Ali & Mohamed Ibrahim, 2023. "A New Reciprocal Weibull Extension for Modeling Extreme Values with Risk Analysis under Insurance Data," Mathematics, MDPI, vol. 11(4), pages 1-26, February.
    241. Weiwei Li & Dejian Tian, 2023. "Robust optimized certainty equivalents and quantiles for loss positions with distribution uncertainty," Papers 2304.04396, arXiv.org.
    242. Brandtner, Mario, 2013. "Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5526-5537.
    243. D Barrera & S Crépey & E Gobet & Hoang-Dung Nguyen & B Saadeddine, 2022. "Learning Value-at-Risk and Expected Shortfall," Working Papers hal-03775901, HAL.
    244. Massimiliano Kaucic & Mojtaba Moradi & Mohmmad Mirzazadeh, 2019. "Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-28, December.
    245. Han Zhao & Shiji Song & Yuli Zhang & Jatinder N. D. Gupta & Anna G. Devlin & Raymond Chiong, 2019. "Supply Chain Coordination with a Risk-Averse Retailer and a Combined Buy-Back and Revenue Sharing Contract," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 36(05), pages 1-23, October.
    246. Jaume Belles-Sampera & José M. Merigó & Montserrat Guillén & Miguel Santolino, 2012. "The connection between distortion risk measures and ordered weighted averaging operators," IREA Working Papers 201201, University of Barcelona, Research Institute of Applied Economics, revised Jan 2012.
    247. Daniel Velásquez-Gaviria & Andrés Mora-Valencia & Javier Perote, 2020. "A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets," Energies, MDPI, vol. 13(11), pages 1-42, June.
    248. Zaiwen Wen & Xianhua Peng & Xin Liu & Xiaoling Sun & Xiaodi Bai, 2013. "Asset Allocation under the Basel Accord Risk Measures," Papers 1308.1321, arXiv.org.
    249. Abdul-Aziz Ibn Musah & Jianguo Du & Hira Salah Ud din Khan & Alhassan Alolo Abdul-Rasheed Akeji, 2018. "The Asymptotic Decision Scenarios of an Emerging Stock Exchange Market: Extreme Value Theory and Artificial Neural Network," Risks, MDPI, vol. 6(4), pages 1-24, November.
    250. Juan Ignacio Pe~na & Rosa Rodriguez & Silvia Mayoral, 2022. "Tail Risk of Electricity Futures," Papers 2202.01732, arXiv.org.
    251. Khaled Salhi, 2017. "Pricing European options and risk measurement under exponential Lévy models — a practical guide," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-36, June.
    252. Bajo, Emanuele & Barbi, Massimiliano & Romagnoli, Silvia, 2014. "Optimal corporate hedging using options with basis and production risk," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 56-71.
    253. Valeriane Jokhadze & Wolfgang M. Schmidt, 2020. "Measuring Model Risk In Financial Risk Management And Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-37, April.
    254. Darinka Dentcheva & Spiridon Penev & Andrzej Ruszczyński, 2010. "Kusuoka representation of higher order dual risk measures," Annals of Operations Research, Springer, vol. 181(1), pages 325-335, December.
    255. St'ephane Cr'epey & Noufel Frikha & Azar Louzi, 2023. "A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation," Papers 2304.01207, arXiv.org.
    256. Wolfgang Kürsten & Mario Brandtner, 2009. "Kohärente Risikomessung versus individuelle Akzeptanzmengen — Anmerkungen zum impliziten Risikoverständnis des “Conditional Value-at-Risk”," Schmalenbach Journal of Business Research, Springer, vol. 61(4), pages 358-381, June.
    257. Ye, Jun & Li, Tiantian, 2012. "The optimal mean–variance investment strategy under value-at-risk constraints," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 344-351.
    258. Battaglia, Francesca & Gallo, Angela, 2013. "Securitization and systemic risk: An empirical investigation on Italian banks over the financial crisis," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 274-286.
    259. Martin Eling & Simone Farinelli & Damiano Rossello & Luisa Tibiletti, 2010. "Skewness in hedge funds returns: classical skewness coefficients vs Azzalini's skewness parameter," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 6(4), pages 290-304, September.
    260. Mohammed Bilal Girach & Shashank Oberoi & Siddhartha P. Chakrabarty, 2019. "Is being `Robust' beneficial?: A perspective from the Indian market," Papers 1908.05002, arXiv.org.
    261. Sant’Anna, Leonardo Riegel & Righi, Marcelo Brutti & Müller, Fernanda Maria & Guedes, Pablo Cristini, 2022. "Risk measure index tracking model," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 361-383.
    262. Cossette, Hélène & Mailhot, Mélina & Marceau, Étienne, 2012. "TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 247-256.
    263. Casper G. de Vries & Mandira Sarma & Bjørn N. Jorgensen & Jean-Pierre Zigrand & Jon Danielsson, 2006. "Consistent Measures of Risk," FMG Discussion Papers dp565, Financial Markets Group.
    264. Cesarone, Francesco & Mango, Fabiomassimo & Mottura, Carlo Domenico & Ricci, Jacopo Maria & Tardella, Fabio, 2020. "On the stability of portfolio selection models," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 210-234.
    265. Deepesh Bhati & Enrique Calderín-Ojeda & Mareeswaran Meenakshi, 2019. "A New Heavy Tailed Class of Distributions Which Includes the Pareto," Risks, MDPI, vol. 7(4), pages 1-17, September.
    266. Jukka Ilomäki, 2018. "Risk and return of a trend-chasing application in financial markets: an empirical test," Risk Management, Palgrave Macmillan, vol. 20(3), pages 258-272, August.
    267. Martin Herdegen & Cosimo Munari, 2023. "An elementary proof of the dual representation of Expected Shortfall," Papers 2306.14506, arXiv.org.
    268. Anca Ionășcuți & Bogdan Dima, 2022. "Contagion effects on financial markets risk," Journal of Financial Studies, Institute of Financial Studies, vol. 12(7), pages 105-133, May.
    269. Raupach, Peter, 2015. "Calculating trading book capital: Is risk separation appropriate?," Discussion Papers 19/2015, Deutsche Bundesbank.
    270. Roman, Diana & Mitra, Gautam & Zverovich, Victor, 2013. "Enhanced indexation based on second-order stochastic dominance," European Journal of Operational Research, Elsevier, vol. 228(1), pages 273-281.
    271. Varga-Haszonits, Istvan & Caccioli, Fabio & Kondor, Imre, 2016. "Replica approach to mean-variance portfolio optimization," LSE Research Online Documents on Economics 68955, London School of Economics and Political Science, LSE Library.
    272. Qifa Xu & Lu Chen & Cuixia Jiang & Yezheng Liu, 2022. "Forecasting expected shortfall and value at risk with a joint elicitable mixed data sampling model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 407-421, April.
    273. Hai Lan & Barry L. Nelson & Jeremy Staum, 2010. "A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation," Operations Research, INFORMS, vol. 58(5), pages 1481-1490, October.
    274. Thomas Siller, 2013. "Measuring marginal risk contributions in credit portfolios," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1915-1923, December.
    275. Alex Golodnikov & Viktor Kuzmenko & Stan Uryasev, 2019. "CVaR Regression Based on the Relation between CVaR and Mixed-Quantile Quadrangles," JRFM, MDPI, vol. 12(3), pages 1-22, June.
    276. Michele Leonardo Bianchi & Gian Luca Tassinari & Frank J. Fabozzi, 2016. "Riding With The Four Horsemen And The Multivariate Normal Tempered Stable Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-28, June.
    277. Ola Mahmoud, 2015. "The Temporal Dimension of Risk," Papers 1501.01573, arXiv.org, revised Jun 2016.
    278. Furman, Edward & Landsman, Zinoviy, 2010. "Multivariate Tweedie distributions and some related capital-at-risk analyses," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 351-361, April.
    279. Stavros Stavroyiannis, 2016. "Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution," Papers 1602.05749, arXiv.org.
    280. Capiński, Maciej J., 2015. "Hedging Conditional Value at Risk with options," European Journal of Operational Research, Elsevier, vol. 242(2), pages 688-691.
    281. Embrechts Paul & Wang Ruodu, 2015. "Seven Proofs for the Subadditivity of Expected Shortfall," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-15, October.
    282. Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2003. "Testing Expected Shortfall Models for Derivative Positions," Other publications TiSEM 98c22c46-0588-477f-b532-4, Tilburg University, School of Economics and Management.
    283. Benjamin Bruder & Nazar Kostyuchyk & Thierry Roncalli, 2022. "Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia," Papers 2202.10721, arXiv.org.
    284. Takashi Kato, 2017. "Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level," Papers 1711.07335, arXiv.org.
    285. Walter Farkas & Ludovic Mathys & Nikola Vasiljevi'c, 2020. "Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps," Papers 2002.04675, arXiv.org, revised Jan 2021.
    286. Carlo Acerbi, 2001. "Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem," Papers cond-mat/0107190, arXiv.org.
    287. Dirk Tasche, 2002. "Expected Shortfall and Beyond," Papers cond-mat/0203558, arXiv.org, revised Oct 2002.
    288. William B. Haskell & Wenjie Huang & Huifu Xu, 2018. "Preference Elicitation and Robust Optimization with Multi-Attribute Quasi-Concave Choice Functions," Papers 1805.06632, arXiv.org.
    289. Adam, Alexandre & Houkari, Mohamed & Laurent, Jean-Paul, 2008. "Spectral risk measures and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1870-1882, September.
    290. Valeria Bignozzi & Matteo Burzoni & Cosimo Munari, 2020. "Risk Measures Based on Benchmark Loss Distributions," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(2), pages 437-475, June.
    291. Luca Merlo & Lea Petrella & Valentina Raponi, 2021. "Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation," Papers 2106.06518, arXiv.org.
    292. Björn Häckel, 2010. "Risikoadjustierte Wertbeiträge zur ex ante Entscheidungsunterstützung: Ein axiomatischer Ansatz," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 21(1), pages 81-108, June.
    293. Samuel Drapeau & Mekonnen Tadese, 2019. "Dual Representation of Expectile based Expected Shortfall and Its Properties," Papers 1911.03245, arXiv.org.
    294. Lazar, Emese & Zhang, Ning, 2019. "Model risk of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 74-93.
    295. Maaz Khan & Faheem Aslam & Paulo Ferreira, 2021. "Extreme Value Theory and COVID-19 Pandemic: Evidence from India," Economic Research Guardian, Weissberg Publishing, vol. 11(1), pages 2-10, June.
    296. Alexis Bonnet & Isabelle Nagot, 2005. "Methodology of measuring performance in alternative investment," Post-Print halshs-00196443, HAL.
    297. Armstrong, John & Brigo, Damiano, 2022. "Coherent risk measures alone are ineffective in constraining portfolio losses," Journal of Banking & Finance, Elsevier, vol. 140(C).
    298. Li, Dan & Clements, Adam & Drovandi, Christopher, 2023. "A Bayesian approach for more reliable tail risk forecasts," Journal of Financial Stability, Elsevier, vol. 64(C).
    299. Larbi Ait-Hennani & Zoulikha Kaid & Ali Laksaci & Mustapha Rachdi, 2022. "Nonparametric Estimation of the Expected Shortfall Regression for Quasi-Associated Functional Data," Mathematics, MDPI, vol. 10(23), pages 1-23, November.
    300. Dirk Tasche, 2009. "Capital allocation for credit portfolios with kernel estimators," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 581-595.
    301. José Vicente & Aloísio Araújo, 2010. "Social Welfare Analysis in a Financial Economy with Risk Regulation," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 12(3), pages 561-586, June.
    302. Falk, Michael & Guillou, Armelle, 2008. "Peaks-over-threshold stability of multivariate generalized Pareto distributions," Journal of Multivariate Analysis, Elsevier, vol. 99(4), pages 715-734, April.
    303. Yiting Fan & Rui Fang, 2022. "Some Results on Measures of Interaction among Risks," Mathematics, MDPI, vol. 10(19), pages 1-19, October.
    304. Silvana M. Pesenti, 2021. "Reverse Sensitivity Analysis for Risk Modelling," Papers 2107.01065, arXiv.org, revised May 2022.
    305. Dorinel Bastide & St'ephane Cr'epey, 2024. "Provisions and Economic Capital for Credit Losses," Papers 2401.07728, arXiv.org, revised Jan 2024.
    306. 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.).
    307. Alexandre Kurth & Dirk Tasche, 2002. "Credit Risk Contributions to Value-at-Risk and Expected Shortfall," Papers cond-mat/0207750, arXiv.org, revised Nov 2002.
    308. Volker Krätschmer & Alexander Schied & Henryk Zähle, 2014. "Comparative and qualitative robustness for law-invariant risk measures," Finance and Stochastics, Springer, vol. 18(2), pages 271-295, April.
    309. Ricarda B. Bouncken & Yixin Qiu & Noemi Sinkovics & Wolfgang Kürsten, 2021. "Qualitative research: extending the range with flexible pattern matching," Review of Managerial Science, Springer, vol. 15(2), pages 251-273, February.
    310. Dirk Tasche, 2005. "Measuring sectoral diversification in an asymptotic multi-factor framework," Papers physics/0505142, arXiv.org, revised Jul 2006.
    311. Pradhan, Ashis Kumar & Tiwari, Aviral Kumar, 2021. "Estimating the market risk of clean energy technologies companies using the expected shortfall approach," Renewable Energy, Elsevier, vol. 177(C), pages 95-100.
    312. Gómez, Fabio & Tang, Qihe & Tong, Zhiwei, 2022. "The gradient allocation principle based on the higher moment risk measure," Journal of Banking & Finance, Elsevier, vol. 143(C).
    313. Burzoni, Matteo & Munari, Cosimo & Wang, Ruodu, 2022. "Adjusted Expected Shortfall," Journal of Banking & Finance, Elsevier, vol. 134(C).
    314. Fernanda Maria Müller & Marcelo Brutti Righi, 2018. "Numerical comparison of multivariate models to forecasting risk measures," Risk Management, Palgrave Macmillan, vol. 20(1), pages 29-50, February.
    315. Cerqueti, Roy & Giacalone, Massimiliano & Panarello, Demetrio, 2019. "A Generalized Error Distribution Copula-based method for portfolios risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 687-695.
    316. Antonio Díaz & Gonzalo García-Donato & Andrés Mora-Valencia, 2019. "Quantifying Risk in Traditional Energy and Sustainable Investments," Sustainability, MDPI, vol. 11(3), pages 1-22, January.
    317. Panna, Miskolczi, 2017. "Note On Simple And Logarithmic Return," APSTRACT: Applied Studies in Agribusiness and Commerce, AGRIMBA, vol. 11(1-2), September.
    318. Dominique Guegan & Bertrand K Hassani, 2014. "Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions," Documents de travail du Centre d'Economie de la Sorbonne 14008, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    319. Spada, Matteo & Paraschiv, Florentina & Burgherr, Peter, 2018. "A comparison of risk measures for accidents in the energy sector and their implications on decision-making strategies," Energy, Elsevier, vol. 154(C), pages 277-288.
    320. Gao, Fuqing & Wang, Shaochen, 2011. "Asymptotic behavior of the empirical conditional value-at-risk," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 345-352.
    321. Davide Lauria & W. Brent Lindquist & Svetlozar T. Rachev, 2023. "Enhancing CVaR portfolio optimisation performance with GAM factor models," Papers 2401.00188, arXiv.org.
    322. Huang, Jinbo & Ding, Ashley & Li, Yong & Lu, Dong, 2020. "Increasing the risk management effectiveness from higher accuracy: A novel non-parametric method," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    323. Li, Jing & Xu, Mingxin, 2009. "Minimizing Conditional Value-at-Risk under Constraint on Expected Value," MPRA Paper 26342, University Library of Munich, Germany, revised 25 Oct 2010.
    324. Brianna Cain & Ralf Zurbruegg, 2010. "Can switching between risk measures lead to better portfolio optimization?," Journal of Asset Management, Palgrave Macmillan, vol. 10(6), pages 358-369, February.
    325. Asimit, Alexandru V. & Badescu, Alexandru M. & Verdonck, Tim, 2013. "Optimal risk transfer under quantile-based risk measurers," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 252-265.
    326. Cossette, Hélène & Côté, Marie-Pier & Marceau, Etienne & Moutanabbir, Khouzeima, 2013. "Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 560-572.
    327. Hui Mi & Zuo Quan Xu & Dongfang Yang, 2023. "Optimal Management of DC Pension Plan with Inflation Risk and Tail VaR Constraint," Papers 2309.01936, arXiv.org.
    328. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
    329. Mathieu Bargès & Hélène Cossette & Etienne Marceau, 2009. "TVaR-based capital allocation with copulas," Working Papers hal-00431265, HAL.
    330. Allaj, Erindi & Sanfelici, Simona, 2023. "Early Warning Systems for identifying financial instability," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1777-1803.
    331. Ophélie Couperier & Jérémy Leymarie, 2020. "Backtesting Expected Shortfall via Multi-Quantile Regression," Working Papers halshs-01909375, HAL.
    332. Miller, Naomi & Ruszczynski, Andrzej, 2008. "Risk-adjusted probability measures in portfolio optimization with coherent measures of risk," European Journal of Operational Research, Elsevier, vol. 191(1), pages 193-206, November.
    333. Zoia, Maria Grazia & Biffi, Paola & Nicolussi, Federica, 2018. "Value at risk and expected shortfall based on Gram-Charlier-like expansions," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 92-104.
    334. Quatto, Piero & Vacca, Gianmarco & Zoia, Maria Grazia, 2021. "A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    335. José Garrido & Ramin Okhrati, 2018. "Desirable Portfolios in Fixed Income Markets: Application to Credit Risk Premiums," Risks, MDPI, vol. 6(1), pages 1-21, March.
    336. Mikhail Tselishchev, 2019. "On the Concavity of Expected Shortfall," Papers 1910.00640, arXiv.org.
    337. Tasche, Dirk, 2002. "Expected shortfall and beyond," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1519-1533, July.
    338. Steve Zymler & Daniel Kuhn & Berç Rustem, 2013. "Worst-Case Value at Risk of Nonlinear Portfolios," Management Science, INFORMS, vol. 59(1), pages 172-188, July.
    339. Zhengkun Li & Minh-Ngoc Tran & Chao Wang & Richard Gerlach & Junbin Gao, 2020. "A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting," Papers 2001.08374, arXiv.org, revised May 2021.
    340. Marcel Bräutigam & Marie Kratz, 2018. "On the Dependence between Quantiles and Dispersion Estimators," Working Papers hal-02296832, HAL.
    341. Bedi, Prateek & Nashier, Tripti, 2020. "On the investment credentials of Bitcoin: A cross-currency perspective," Research in International Business and Finance, Elsevier, vol. 51(C).
    342. Christoph Moehr, 2023. "A framework for the valuation of insurance liabilities by production cost," Papers 2401.00263, arXiv.org.
    343. Chi, Yichun & Liu, Fangda, 2017. "Optimal insurance design in the presence of exclusion clauses," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 185-195.
    344. Dorinel Bastide & St'ephane Cr'epey & Samuel Drapeau & Mekonnen Tadese, 2022. "Derivatives Risks as Costs in a One-Period Network Model," Papers 2202.03248, arXiv.org, revised Feb 2022.
    345. Müller, Fernanda Maria & Santos, Samuel Solgon & Righi, Marcelo Brutti, 2023. "A description of the COVID-19 outbreak role in financial risk forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    346. Fermanian, Jean-David & Scaillet, Olivier, 2005. "Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 927-958, April.
    347. Balog, Dóra & Bátyi, Tamás László & Csóka, Péter & Pintér, Miklós, 2017. "Properties and comparison of risk capital allocation methods," European Journal of Operational Research, Elsevier, vol. 259(2), pages 614-625.
    348. Laurent Gardes & Stéphane Girard & Gilles Stupfler, 2020. "Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp‐optimization," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 922-949, September.
    349. Markus Huggenberger & Peter Albrecht, 2022. "Risk pooling and solvency regulation: A policyholder's perspective," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(4), pages 907-950, December.
    350. Volker Kratschmer & Alexander Schied & Henryk Zahle, 2012. "Comparative and qualitative robustness for law-invariant risk measures," Papers 1204.2458, arXiv.org, revised Jan 2014.
    351. Hermann Haaf & Dirk Tasche, 2001. "Calculating Value-at-Risk contributions in CreditRisk+," Papers cond-mat/0112045, arXiv.org, revised Mar 2002.
    352. Brenda López Cabrera & Franziska Schulz, 2016. "Time-Adaptive Probabilistic Forecasts of Electricity Spot Prices with Application to Risk Management," SFB 649 Discussion Papers SFB649DP2016-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    353. Joël Bessis, 2009. "Risk Management in Banking," Post-Print hal-00494876, HAL.
    354. Bellini, Tiziano, 2013. "Integrated bank risk modeling: A bottom-up statistical framework," European Journal of Operational Research, Elsevier, vol. 230(2), pages 385-398.
    355. D'avid Csercsik & Anne Neumann, 2022. "Solidarity in natural gas storage: A potential allocation mechanism of stored quantities among several players during times of crisis," Papers 2209.05089, arXiv.org, revised Aug 2023.
    356. Monica Billio & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix," Working Papers 2016:01, Department of Economics, University of Venice "Ca' Foscari".
    357. Marcella Lucchetta & Mr. Gianni De Nicolo, 2012. "Systemic Real and Financial Risks: Measurement, Forecasting, and Stress Testing," IMF Working Papers 2012/058, International Monetary Fund.
    358. Raymond Brummelhuis, 2006. "Auto-Dependence Structure of Arch-Models: Tail Dependence Coefficients," Birkbeck Working Papers in Economics and Finance 0605, Birkbeck, Department of Economics, Mathematics & Statistics.
    359. Hwai-Chung Ho, 2022. "Forecasting the distribution of long-horizon returns with time-varying volatility," Papers 2201.07457, arXiv.org.
    360. Albrecht, Peter, 2003. "Risk measures," Papers 03-01, Sonderforschungsbreich 504.
    361. Geissel Sebastian & Sass Jörn & Seifried Frank Thomas, 2018. "Optimal expected utility risk measures," Statistics & Risk Modeling, De Gruyter, vol. 35(1-2), pages 73-87, January.
    362. Csóka, Péter, 2017. "Fair risk allocation in illiquid markets," Finance Research Letters, Elsevier, vol. 21(C), pages 228-234.
    363. Stéphane Crépey & Noufel Frikha & Azar Louzi, 2023. "A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation," Working Papers hal-04037328, HAL.
    364. Panagiotis Xidonas & Christos E. Kountzakis & Christis Hassapis & Christos Staikouras, 2016. "RAROC in portfolio optimization," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-14, September.
    365. Michael G. Papaioannou, 2009. "Exchange Rate Risk Measurement and Management: Issues and Approaches for Public Debt Managers," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 7(1), pages 7-34.
    366. Yan Fang & Jian Li & Yinglin Liu & Yunfan Zhao, 2023. "Semiparametric estimation of expected shortfall and its application in finance," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 835-851, July.
    367. Battaglia, Francesca & Gallo, Angela & Mazzuca, Maria, 2014. "Securitized banking and the Euro financial crisis: Evidence from the Italian banks risk-taking," Journal of Economics and Business, Elsevier, vol. 76(C), pages 85-100.
    368. A. Cherny, 2006. "Weighted V@R and its Properties," Finance and Stochastics, Springer, vol. 10(3), pages 367-393, September.
    369. Bonollo Michele & Persio Luca Di & Prezioso Luca, 2018. "The Default Risk Charge approach to regulatory risk measurement processes," Dependence Modeling, De Gruyter, vol. 6(1), pages 309-330, December.
    370. Shushang Zhu & Duan Li & Shouyang Wang, 2009. "Robust portfolio selection under downside risk measures," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 869-885.
    371. Gao, Jianjun & Xiong, Yan & Li, Duan, 2016. "Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time," European Journal of Operational Research, Elsevier, vol. 249(2), pages 647-656.
    372. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
    373. Righi, Marcelo Brutti & Borenstein, Denis, 2018. "A simulation comparison of risk measures for portfolio optimization," Finance Research Letters, Elsevier, vol. 24(C), pages 105-112.
    374. Jiang, Chun-Fu & Peng, Hong-Yi & Yang, Yu-Kuan, 2016. "Tail variance of portfolio under generalized Laplace distribution," Applied Mathematics and Computation, Elsevier, vol. 282(C), pages 187-203.
    375. Gyöngyi Bugár, 2019. "A Breakthrough Idea in Risk Measure Validation – Is the Way Paved for an Effective Expected Shortfall Backtest?," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 18(4), pages 130-145.
    376. Kerkhof, Jeroen & Melenberg, Bertrand & Schumacher, Hans, 2010. "Model risk and capital reserves," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 267-279, January.
    377. Michal Kaut & Hercules Vladimirou & Stein W. Wallace & Stavros A. Zenios, 2007. "Stability analysis of portfolio management with conditional value-at-risk," Quantitative Finance, Taylor & Francis Journals, vol. 7(4), pages 397-409.
    378. Guo, Wenjing & Li, Sijie & Xing, Mengyue & Lin, Shengyao, 2023. "Evaluation of the operational quality of China's grain futures market based on the comprehensive information weighting method," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 467-482.
    379. Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2551-2569, August.
    380. Wang, Ching-Ping & Huang, Hung-Hsi, 2016. "Optimal insurance contract under VaR and CVaR constraints," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 110-127.
    381. Owadally, Iqbal & Landsman, Zinoviy, 2013. "A characterization of optimal portfolios under the tail mean–variance criterion," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 213-221.
    382. Georgios Mamanis, 2021. "Analyzing the Performance of a Two-Tail-Measures-Utility Multi-objective Portfolio Optimization Model," SN Operations Research Forum, Springer, vol. 2(4), pages 1-18, December.
    383. Landsman, Zinoviy, 2010. "On the Tail Mean-Variance optimal portfolio selection," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 547-553, June.
    384. Johanna F. Ziegel, 2013. "Coherence and elicitability," Papers 1303.1690, arXiv.org, revised Mar 2014.
    385. Haitham M. Yousof & Walid Emam & Yusra Tashkandy & M. Masoom Ali & R. Minkah & Mohamed Ibrahim, 2023. "A Novel Model for Quantitative Risk Assessment under Claim-Size Data with Bimodal and Symmetric Data Modeling," Mathematics, MDPI, vol. 11(6), pages 1-31, March.
    386. H. Fink & S. Geissel & J. Sass & F. T. Seifried, 2019. "Implied risk aversion: an alternative rating system for retail structured products," Review of Derivatives Research, Springer, vol. 22(3), pages 357-387, October.
    387. Heckmann, Iris & Comes, Tina & Nickel, Stefan, 2015. "A critical review on supply chain risk – Definition, measure and modeling," Omega, Elsevier, vol. 52(C), pages 119-132.
    388. Istvan Varga-Haszonits & Fabio Caccioli & Imre Kondor, 2016. "Replica approach to mean-variance portfolio optimization," Papers 1606.08679, arXiv.org.
    389. Puccetti, Giovanni, 2013. "Sharp bounds on the expected shortfall for a sum of dependent random variables," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1227-1232.
    390. Li, Yanhai & Ou, Jinwen, 2022. "Replenishment decisions for complementary components with supply capacity uncertainty under the CVaR criterion," European Journal of Operational Research, Elsevier, vol. 297(3), pages 904-916.
    391. Su, Ender & Wong, Kai Wen, 2018. "Measuring bank downside systemic risk in Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 172-193.
    392. David Happersberger & Harald Lohre & Ingmar Nolte, 2020. "Estimating portfolio risk for tail risk protection strategies," European Financial Management, European Financial Management Association, vol. 26(4), pages 1107-1146, September.
    393. Cyril B'en'ezet & St'ephane Cr'epey & Dounia Essaket, 2023. "Hedging Valuation Adjustment for Callable Claims," Papers 2304.02479, arXiv.org.
    394. Strub, Moris S. & Li, Duan & Cui, Xiangyu & Gao, Jianjun, 2019. "Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    395. Martínez-Salgueiro, Andrea & Tarrazón-Rodón, María-Antonia, 2020. "Is diversification effective in reducing the systemic risk implied by a market for weather index-based insurance in Spain?," MPRA Paper 119924, University Library of Munich, Germany, revised 19 May 2021.
    396. Asimit, Vali & Boonen, Tim J., 2018. "Insurance with multiple insurers: A game-theoretic approach," European Journal of Operational Research, Elsevier, vol. 267(2), pages 778-790.
    397. Asimit, Alexandru V. & Bignozzi, Valeria & Cheung, Ka Chun & Hu, Junlei & Kim, Eun-Seok, 2017. "Robust and Pareto optimality of insurance contracts," European Journal of Operational Research, Elsevier, vol. 262(2), pages 720-732.
    398. Koch-Medina, Pablo & Munari, Cosimo, 2016. "Unexpected shortfalls of Expected Shortfall: Extreme default profiles and regulatory arbitrage," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 141-151.
    399. Blier-Wong, Christopher & Cossette, Hélène & Marceau, Etienne, 2023. "Risk aggregation with FGM copulas," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 102-120.
    400. James Ming Chen, 2018. "On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles," Risks, MDPI, vol. 6(2), pages 1-28, June.
    401. Chen, Zhiping & Wang, Yi, 2008. "Two-sided coherent risk measures and their application in realistic portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2667-2673, December.
    402. Brandtner, Mario & Kürsten, Wolfgang, 2014. "Solvency II, regulatory capital, and optimal reinsurance: How good are Conditional Value-at-Risk and spectral risk measures?," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 156-167.
    403. Budhi Surya & Ryan Kurniawan, 2014. "Optimal Portfolio Selection Based on Expected Shortfall Under Generalized Hyperbolic Distribution," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(3), pages 193-236, September.
    404. Johannes Leitner, 2005. "A Short Note On Second‐Order Stochastic Dominance Preserving Coherent Risk Measures," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 649-651, October.
    405. Frey, Rudiger & McNeil, Alexander J., 2002. "VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1317-1334, July.
    406. Castaño-Martínez, A. & Pigueiras, G. & Sordo, M.A., 2019. "On a family of risk measures based on largest claims," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 92-97.
    407. Y. Malevergne & D. Sornette, 2003. "VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions," Papers physics/0301009, arXiv.org.
    408. Duc Hong Vo & Quang Van Tuan & Trung Vu-Thanh Pham, 2019. "Sectoral Risks in Vietnam and Malaysia A Comparative Analysis," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(1), pages 62-87, March.
    409. J. Annaert & S. Van Osselaer & B. Verstraete, 2007. "Performance evaluation of portfolio insurance strategies using stochastic dominance criteria," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/473, Ghent University, Faculty of Economics and Business Administration.
    410. Karl F. Bann�r & Matthias Scherer, 2014. "On the calibration of distortion risk measures to bid-ask prices," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1217-1228, July.
    411. Boonen, Tim J. & Tan, Ken Seng & Zhuang, Sheng Chao, 2016. "The role of a representative reinsurer in optimal reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 196-204.
    412. Zhongde Luo, 2020. "Nonparametric kernel estimation of CVaR under $$\alpha $$α-mixing sequences," Statistical Papers, Springer, vol. 61(2), pages 615-643, April.
    413. Xu, Qifa & Li, Mengting & Jiang, Cuixia & He, Yaoyao, 2019. "Interconnectedness and systemic risk network of Chinese financial institutions: A LASSO-CoVaR approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    414. Kerkhof, Jeroen & Melenberg, Bertrand, 2004. "Backtesting for risk-based regulatory capital," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1845-1865, August.
    415. Judit Hevér & Péter Csóka, 2023. "The effect of funding liquidity regulation and ESG promotion on market liquidity," CERS-IE WORKING PAPERS 2307, Institute of Economics, Centre for Economic and Regional Studies.
    416. Walter Farkas & Ludovic Mathys & Nikola Vasiljević, 2021. "Intra‐Horizon expected shortfall and risk structure in models with jumps," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 772-823, April.
    417. Maria Logvaneva & Mikhail Tselishchev, 2022. "On a Stochastic Model of Diversification," Papers 2204.01284, arXiv.org.
    418. Lisa R. Goldberg & Ola Mahmoud, 2014. "Drawdown: From Practice to Theory and Back Again," Papers 1404.7493, arXiv.org, revised Sep 2016.
    419. Armstrong, John & Brigo, Damiano, 2019. "Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 122-135.
    420. Bruno Bouchard & Adil Reghai & Benjamin Virrion, 2020. "Computation of Expected Shortfall by fast detection of worst scenarios," Papers 2005.12593, arXiv.org.
    421. Adrián F. Rossignolo, 2019. "Basel IV A gloomy future for Expected Shortfall risk models. Evidence from the Mexican Stock Market," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 559-582, Agosto 20.
    422. Boonen, T.J. & De Waegenaere, A.M.B. & Norde, H.W., 2012. "A Generalization of the Aumann-Shapley Value for Risk Capital Allocation Problems," Other publications TiSEM 2c502ef8-76f0-47f5-ab45-1, Tilburg University, School of Economics and Management.
    423. Beck, Nicholas & Di Bernardino, Elena & Mailhot, Mélina, 2021. "Semi-parametric estimation of multivariate extreme expectiles," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
    424. Han, Yingwei & Li, Ping & Xia, Yong, 2017. "Dynamic robust portfolio selection with copulas," Finance Research Letters, Elsevier, vol. 21(C), pages 190-200.
    425. Philippe Delquié, 2012. "Risk Measures from Risk-Reducing Experiments," Decision Analysis, INFORMS, vol. 9(2), pages 96-102, June.
    426. Boonen, Tim J., 2017. "Risk Redistribution Games With Dual Utilities," ASTIN Bulletin, Cambridge University Press, vol. 47(1), pages 303-329, January.
    427. Buch, A. & Dorfleitner, G., 2008. "Coherent risk measures, coherent capital allocations and the gradient allocation principle," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 235-242, February.
    428. Tatiana Labopin-Richard & Fabrice Gamboa & Aur'elien Garivier & Bertrand Iooss, 2014. "Bregman superquantiles. Estimation methods and applications," Papers 1405.6677, arXiv.org, revised Jan 2016.
    429. Imen Bentahar, 2006. "Tail Conditional Expectation for vector-valued Risks," SFB 649 Discussion Papers SFB649DP2006-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    430. Hasanjan Sayit, 2022. "A discussion of stochastic dominance and mean-risk optimal portfolio problems based on mean-variance-mixture models," Papers 2202.02488, arXiv.org, revised Jul 2023.
    431. Ebnother, Silvan & Vanini, Paolo, 2007. "Credit portfolios: What defines risk horizons and risk measurement?," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3663-3679, December.
    432. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012. "When more is less: Using multiple constraints to reduce tail risk," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2693-2716.
    433. Giannopoulos, Kostas & Tunaru, Radu, 2005. "Coherent risk measures under filtered historical simulation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 979-996, April.
    434. Kamil J. Mizgier & Joseph M. Pasia, 2016. "Multiobjective optimization of credit capital allocation in financial institutions," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(4), pages 801-817, December.
    435. Buccioli, Alice & Kokholm, Thomas & Nicolosi, Marco, 2019. "Expected shortfall and portfolio management in contagious markets," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 100-115.
    436. Yuru Sun & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Gael M. Martin, 2023. "Optimal probabilistic forecasts for risk management," Papers 2303.01651, arXiv.org.
    437. Bauerle, Nicole & Muller, Alfred, 2006. "Stochastic orders and risk measures: Consistency and bounds," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 132-148, February.
    438. Al Janabi, Mazin A.M., 2014. "Optimal and investable portfolios: An empirical analysis with scenario optimization algorithms under crisis market prospects," Economic Modelling, Elsevier, vol. 40(C), pages 369-381.
    439. Marios Nerouppos & David Saunders & Costas Xiouros & Stavros A. Zenios, 2006. "Risk Management in Emerging Markets: Practical Methodologies and Empirical Tests," Multinational Finance Journal, Multinational Finance Journal, vol. 10(3-4), pages 179-221, September.
    440. Nick Costanzino & Michael Curran, 2018. "A Simple Traffic Light Approach to Backtesting Expected Shortfall," Risks, MDPI, vol. 6(1), pages 1-7, January.
    441. Inui, Koji & Kijima, Masaaki, 2005. "On the significance of expected shortfall as a coherent risk measure," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 853-864, April.
    442. Antonio Rubia Serrano & Lidia Sanchis-Marco, 2015. "Measuring Tail-Risk Cross-Country Exposures in the Banking Industry," Working Papers. Serie AD 2015-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    443. Brandtner, Mario & Kürsten, Wolfgang & Rischau, Robert, 2018. "Entropic risk measures and their comparative statics in portfolio selection: Coherence vs. convexity," European Journal of Operational Research, Elsevier, vol. 264(2), pages 707-716.
    444. Wei Sun & Svetlozar Rachev & Frank J. Fabozzi, 2009. "A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions," European Financial Management, European Financial Management Association, vol. 15(2), pages 340-361, March.
    445. Dai, Zhifeng & Kang, Jie & Wen, Fenghua, 2021. "Predicting stock returns: A risk measurement perspective," International Review of Financial Analysis, Elsevier, vol. 74(C).
    446. Darinka Dentcheva & Andrzej Ruszczynski, 2005. "Inverse stochastic dominance constraints and rank dependent expected utility theory," GE, Growth, Math methods 0503001, University Library of Munich, Germany.
    447. Luigi Aldieri & Alessandra Amendola & Vincenzo Candila, 2023. "The Impact of ESG Scores on Risk Market Performance," Sustainability, MDPI, vol. 15(9), pages 1-16, April.
    448. Enrique Molina‐Muñoz & Andrés Mora‐Valencia & Javier Perote, 2021. "Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4163-4189, July.
    449. John Armstrong & Damiano Brigo, 2017. "Optimizing S-shaped utility and implications for risk management," Papers 1711.00443, arXiv.org, revised Jan 2018.
    450. Kim, Hyuksoo & Kim, Saejoon, 2022. "Managing downside risk of low-risk anomaly portfolios," Finance Research Letters, Elsevier, vol. 46(PB).
    451. Cossette, Hélène & Landriault, David & Marceau, Etienne & Moutanabbir, Khouzeima, 2012. "Analysis of the discounted sum of ascending ladder heights," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 393-401.
    452. Merlo, Luca & Petrella, Lea & Raponi, Valentina, 2021. "Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation," Journal of Banking & Finance, Elsevier, vol. 133(C).
    453. Maziar Sahamkhadam, 2021. "Dynamic copula-based expectile portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 209-223, May.
    454. Melnikov, Alexander & Smirnov, Ivan, 2012. "Dynamic hedging of conditional value-at-risk," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 182-190.
    455. Brandtner, Mario & Kürsten, Wolfgang, 2015. "Decision making with Expected Shortfall and spectral risk measures: The problem of comparative risk aversion," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 268-280.
    456. Tee, Kai-Hong, 2009. "The effect of downside risk reduction on UK equity portfolios included with Managed Futures Funds," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 303-310, December.
    457. Richard J Martin, 2011. "Saddlepoint methods in portfolio theory," Papers 1201.0106, arXiv.org.
    458. Doron Nisani, 2023. "On the General Deviation Measure and the Gini coefficient," International Journal of Economic Theory, The International Society for Economic Theory, vol. 19(3), pages 599-610, September.
    459. Brandtner, Mario & Kürsten, Wolfgang, 2014. "Decision making with Conditional Value-at-Risk and spectral risk measures: The problem of comparative risk aversion," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100615, Verein für Socialpolitik / German Economic Association.
    460. Cathy W. S. Chen & Edward M. H. Lin & Tara F. J. Huang, 2022. "Bayesian quantile forecasting via the realized hysteretic GARCH model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(7), pages 1317-1337, November.
    461. Fulga, Cristinca, 2016. "Portfolio optimization under loss aversion," European Journal of Operational Research, Elsevier, vol. 251(1), pages 310-322.
    462. 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).
    463. Marcel, Bräutigam & Marie, Kratz, 2018. "On the Dependence between Quantiles and Dispersion Estimators," ESSEC Working Papers WP1807, ESSEC Research Center, ESSEC Business School.
    464. Kull, Andreas, 2009. "Sharing Risk – An Economic Perspective," ASTIN Bulletin, Cambridge University Press, vol. 39(2), pages 591-613, November.
    465. Yuzhi Cai, 2021. "Estimating expected shortfall using a quantile function model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4332-4360, July.
    466. Philipp Gschöpf & Wolfgang Karl Härdle & Andrija Mihoci, 2015. "TERES - Tail Event Risk Expectile based Shortfall," SFB 649 Discussion Papers SFB649DP2015-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    467. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2018. "Tail expectile process and risk assessment," TSE Working Papers 18-944, Toulouse School of Economics (TSE).
    468. Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2013. "“Beyond Value-at-Risk: GlueVaR Distortion Risk Measures”," IREA Working Papers 201302, University of Barcelona, Research Institute of Applied Economics, revised Feb 2013.
    469. Bernard Carole & Vanduffel Steven, 2015. "Quantile of a Mixture with Application to Model Risk Assessment," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-10, October.
    470. Dorinel Bastide & Stéphane Crépey & Samuel Drapeau & Mekonnen Tadese, 2022. "Derivatives Risks as Costs in a One-Period Network Model," Post-Print hal-03910144, HAL.
    471. Imre Kondor, 2014. "Estimation Error of Expected Shortfall," Papers 1402.5534, arXiv.org.
    472. Bargès, Mathieu & Cossette, Hélène & Marceau, Étienne, 2009. "TVaR-based capital allocation with copulas," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 348-361, December.
    473. Sandro Merino & Mark Nyfeler, 2004. "Applying importance sampling for estimating coherent credit risk contributions," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 199-207.
    474. Marcelo Brutti Righi, 2018. "A theory for combinations of risk measures," Papers 1807.01977, arXiv.org, revised May 2023.
    475. Araújo, Aloísio Pessoa & Vicente, José Valentim M., 2006. "Risk Regulation in Brazil: A General Equilibrium Model," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 26(1), May.
    476. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
    477. Zongwu Cai & Xian Wang, 2013. "Nonparametric Methods for Estimating Conditional VaR and Expected Shortfall," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    478. Wang, Fan & Zhang, Chao & Zhang, Hui & Xu, Liang, 2021. "Short-term physician rescheduling model with feature-driven demand for mental disorders outpatients," Omega, Elsevier, vol. 105(C).
    479. Ivan Granito & Paolo De Angelis, 2015. "Capital allocation and risk appetite under Solvency II framework," Papers 1511.02934, arXiv.org.
    480. Brandtner, Mario, 2018. "Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 138-149.
    481. Goldberg, Lisa R & Mouti, Saad, 2022. "Sustainable investing and the cross-section of returns and maximum drawdown," Department of Economics, Working Paper Series qt98f9410b, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    482. Zhiping Chen & Qianhui Hu, 2018. "On Coherent Risk Measures Induced by Convex Risk Measures," Methodology and Computing in Applied Probability, Springer, vol. 20(2), pages 673-698, June.
    483. Imre Kondor & Szilard Pafka & Gabor Nagy, 2006. "Noise sensitivity of portfolio selection under various risk measures," Papers physics/0611027, arXiv.org.
    484. Liu, Qingfu & An, Yunbi, 2014. "Risk contributions of trading and non-trading hours: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 17-29.
    485. Zhiping Chen & Qianhui Hu & Ruiyue Lin, 2016. "Performance ratio-based coherent risk measure and its application," Quantitative Finance, Taylor & Francis Journals, vol. 16(5), pages 681-693, May.
    486. Chang Cong & Peibiao Zhao, 2018. "Non-Cash Risk Measure on Nonconvex Sets," Mathematics, MDPI, vol. 6(10), pages 1-9, October.
    487. Luciana Dalla Valle, 2009. "Bayesian Copulae Distributions, with Application to Operational Risk Management," Methodology and Computing in Applied Probability, Springer, vol. 11(1), pages 95-115, March.
    488. Bony Josaphat & Khreshna Syuhada, 2020. "Dependent Conditional Value-at-Risk for Aggregate Risk Models," Papers 2009.02904, arXiv.org.
    489. Tianyu Hao, 2012. "Optimal portfolio model based on WVAR," Papers 1211.5628, arXiv.org.
    490. Samuel Drapeau & Mekonnen Tadese, 2019. "Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall," Papers 1906.09729, arXiv.org, revised Jun 2020.
    491. Marie Kratz, 2013. "There is a VaR Beyond Usual Approximations," Working Papers hal-00880258, HAL.

  3. Carlo Acerbi, 2001. "Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem," Papers cond-mat/0107190, arXiv.org.

    Cited by:

    1. Acerbi Carlo & Simonetti Prospero, 2002. "Portfolio Optimization with Spectral Measures of Risk," Papers cond-mat/0203607, arXiv.org.
    2. Omid Momen & Akbar Esfahanipour & Abbas Seifi, 2020. "A robust behavioral portfolio selection: model with investor attitudes and biases," Operational Research, Springer, vol. 20(1), pages 427-446, March.
    3. Cadogan, Godfrey, 2009. "On behavioral Arrow Pratt risk process with applications to risk pricing, stochastic cash flows, and risk control," MPRA Paper 20174, University Library of Munich, Germany.
    4. Choo, Weihao & de Jong, Piet, 2009. "Loss reserving using loss aversion functions," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 271-277, October.
    5. Pablo Lopez Sarabia, 2007. "Transmission And Impact Of The Financial Risk Of The European, Asian And American Stock Markets In The Return Of Mexican IPYC Index," EcoMod2007 23900054, EcoMod.
    6. Alexis Bonnet & Isabelle Nagot, 2005. "Methodology of measuring performance in alternative investment," Post-Print halshs-00196443, HAL.
    7. Mikhail Tselishchev, 2019. "On the Concavity of Expected Shortfall," Papers 1910.00640, arXiv.org.
    8. 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).
    9. Cadogan, Godfrey, 2010. "Asymptotic Theory Of Stochastic Choice Functionals For Prospects With Embedded Comotonic Probability Measures," MPRA Paper 22380, University Library of Munich, Germany.

  4. Carlo Acerbi & Claudio Nordio & Carlo Sirtori, 2001. "Expected Shortfall as a Tool for Financial Risk Management," Papers cond-mat/0102304, arXiv.org.

    Cited by:

    1. Silvia Faroni & Olivier Le Courtois & Krzysztof Ostaszewski, 2022. "Equivalent Risk Indicators: VaR, TCE, and Beyond," Risks, MDPI, vol. 10(8), pages 1-19, July.
    2. Nieto, María Rosa & Ruiz Ortega, Esther, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
    3. Fangyuan Zhang, 2023. "Non-concave portfolio optimization with average value-at-risk," Mathematics and Financial Economics, Springer, volume 17, number 3, June.
    4. Istvan Varga-Haszonits & Imre Kondor, 2008. "The instability of downside risk measures," Papers 0811.0800, arXiv.org, revised Nov 2008.
    5. Deepak K. Jadhav & Ramanathan Thekke Variyam, 2023. "Modified Expected Shortfall: a Coherent Risk Measure for Elliptical Family of Distributions," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 234-256, May.
    6. Yu, Jinping & Yang, Xiaofeng & Li, Shenghong, 2009. "Portfolio optimization with CVaR under VG process," Research in International Business and Finance, Elsevier, vol. 23(1), pages 107-116, January.
    7. An Chen & Mitja Stadje & Fangyuan Zhang, 2020. "On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization," Papers 2002.02229, arXiv.org, revised Jun 2022.
    8. Kirsten L. MacDonald & Robert J. Bianchi & Michael E. Drew, 2020. "Equity risk versus retirement adequacy: asset allocation solutions for KiwiSaver," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3851-3873, December.
    9. Emmanuel Olateju Oyatoye & Waheed Oladimeji Arilesere, 2012. "A non-linear programming model for insurance company investment portfolio management in Nigeria," International Journal of Data Analysis Techniques and Strategies, Inderscience Enterprises Ltd, vol. 4(1), pages 83-100.
    10. Danielsson, Jon & Jorgensen, Bjørn N. & Mandira, Sarma & Samorodnitsky, Gennady & Vries, C. G. de, 2005. "Subadditivity re–examined: the case for value-at-risk," LSE Research Online Documents on Economics 24668, London School of Economics and Political Science, LSE Library.
    11. Maria Stefanova, 2012. "Recovery Risiko in der Kreditportfoliomodellierung," Springer Books, Springer, number 978-3-8349-4226-5, September.
    12. 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.
    13. Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July.
    14. Ellis, Scott & Sharma, Satish & Brzeszczyński, Janusz, 2022. "Systemic risk measures and regulatory challenges," Journal of Financial Stability, Elsevier, vol. 61(C).
    15. Saša ŽIKOVIÆ & Randall K. FILER, 2013. "Ranking of VaR and ES Models: Performance in Developed and Emerging Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(4), pages 327-359, August.
    16. Carlo Acerbi & Dirk Tasche, 2001. "Expected Shortfall: a natural coherent alternative to Value at Risk," Papers cond-mat/0105191, arXiv.org.
    17. Sasa Zikovic & Randall Filer, 2009. "Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets," CESifo Working Paper Series 2820, CESifo.
    18. Berthine Nyunga Mpinda & Jules Sadefo-Kamdem & Salomey Osei & Jeremiah Fadugba, 2021. "Accuracies of Model Risks in Finance using Machine Learning," Working Papers hal-03191437, HAL.
    19. Karma, Otto & Sander, Priit, 2006. "The impact of financial leverage on risk of equity measured by loss-oriented risk measures: An option pricing approach," European Journal of Operational Research, Elsevier, vol. 175(3), pages 1340-1356, December.
    20. Angelidis, Timotheos & Degiannakis, Stavros, 2007. "Backtesting VaR Models: A Τwo-Stage Procedure," MPRA Paper 80418, University Library of Munich, Germany.
    21. Junsen Tang, 2023. "Optimal Static Hedging of Variable Annuities with Volatility-Dependent Fees," Risks, MDPI, vol. 12(1), pages 1-20, December.
    22. Jain, Prachi & Maitra, Debasish & Kang, Sang Hoon, 2023. "Oil price and the automobile industry: Dynamic connectedness and portfolio implications with downside risk," Energy Economics, Elsevier, vol. 119(C).
    23. Cossette, Hélène & Mailhot, Mélina & Marceau, Étienne, 2012. "TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 247-256.
    24. Casper G. de Vries & Mandira Sarma & Bjørn N. Jorgensen & Jean-Pierre Zigrand & Jon Danielsson, 2006. "Consistent Measures of Risk," FMG Discussion Papers dp565, Financial Markets Group.
    25. Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics.
    26. Lan-chih Ho & John Cadle & Michael Theobald, 2011. "An analysis of risk-based asset allocation and portfolio insurance strategies," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 247-267, February.
    27. Hela Mzoughi & Faysal Mansouri, 2013. "Computing risk measures for non-normal asset returns using Copula theory," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 2(1), pages 59-70, March.
    28. Stephen Chan & Saralees Nadarajah, 2019. "Risk: An R Package for Financial Risk Measures," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1337-1351, April.
    29. Axel Pruser & Imre Kondor & Andreas Engel, 2021. "Aspects of a phase transition in high-dimensional random geometry," Papers 2105.04395, arXiv.org, revised Jun 2021.
    30. Takashi Kato, 2017. "Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level," Papers 1711.07335, arXiv.org.
    31. Carlo Acerbi, 2001. "Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem," Papers cond-mat/0107190, arXiv.org.
    32. Dirk Tasche, 2002. "Expected Shortfall and Beyond," Papers cond-mat/0203558, arXiv.org, revised Oct 2002.
    33. Alexis Bonnet & Isabelle Nagot, 2005. "Methodology of measuring performance in alternative investment," Post-Print halshs-00196443, HAL.
    34. Falk, Michael & Guillou, Armelle, 2008. "Peaks-over-threshold stability of multivariate generalized Pareto distributions," Journal of Multivariate Analysis, Elsevier, vol. 99(4), pages 715-734, April.
    35. Yiting Fan & Rui Fang, 2022. "Some Results on Measures of Interaction among Risks," Mathematics, MDPI, vol. 10(19), pages 1-19, October.
    36. Cossette, Hélène & Côté, Marie-Pier & Marceau, Etienne & Moutanabbir, Khouzeima, 2013. "Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 560-572.
    37. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
    38. Mathieu Bargès & Hélène Cossette & Etienne Marceau, 2009. "TVaR-based capital allocation with copulas," Working Papers hal-00431265, HAL.
    39. Tasche, Dirk, 2002. "Expected shortfall and beyond," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1519-1533, July.
    40. Elisabetta Cagna & Giulio Casuccio, 2014. "Equally-weighted Risk Contribution Portfolios: an empirical study using expected shortfall," CeRP Working Papers 142, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    41. Witt, Rudolf & Waibel, Hermann, 2009. "Lower Partial Moments as a measure of vulnerability to poverty in Cameroon," Hannover Economic Papers (HEP) dp-434, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    42. Marcin Fałdziński & Magdalena Osińska & Tomasz Zdanowicz, 2012. "Detecting Risk Transfer in Financial Markets using Different Risk Measures," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(1), pages 45-64, March.
    43. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2014. "$L_p$ regularized portfolio optimization," Papers 1404.4040, arXiv.org.
    44. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2016. "Liquidity Risk And Instabilities In Portfolio Optimization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-28, August.
    45. Martínez-Salgueiro, Andrea & Tarrazón-Rodón, María-Antonia, 2020. "Is diversification effective in reducing the systemic risk implied by a market for weather index-based insurance in Spain?," MPRA Paper 119924, University Library of Munich, Germany, revised 19 May 2021.
    46. Imre Kondor & István Varga-Haszonits, 2010. "Instability Of Portfolio Optimization Under Coherent Risk Measures," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 425-437.
    47. Daníelsson, Jón & Jorgensen, Bjørn N. & Samorodnitsky, Gennady & Sarma, Mandira & de Vries, Casper G., 2013. "Fat tails, VaR and subadditivity," Journal of Econometrics, Elsevier, vol. 172(2), pages 283-291.
    48. Lan-chih Ho & John Cadle & Michael Theobald, 2008. "Portfolio selection in an expected shortfall framework during the recent ‘credit crunch’ period," Journal of Asset Management, Palgrave Macmillan, vol. 9(2), pages 121-137, July.
    49. Inui, Koji & Kijima, Masaaki, 2005. "On the significance of expected shortfall as a coherent risk measure," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 853-864, April.
    50. Deepak Jadhav & T.V. Ramanathan & U.V. Naik-Nimbalkar, 2009. "Modified Estimators of the Expected Shortfall," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 87-107, May.
    51. 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).
    52. Philipp Gschöpf & Wolfgang Karl Härdle & Andrija Mihoci, 2015. "TERES - Tail Event Risk Expectile based Shortfall," SFB 649 Discussion Papers SFB649DP2015-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    53. Bargès, Mathieu & Cossette, Hélène & Marceau, Étienne, 2009. "TVaR-based capital allocation with copulas," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 348-361, December.
    54. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.

  5. Carlo Acerbi & Dirk Tasche, 2001. "Expected Shortfall: a natural coherent alternative to Value at Risk," Papers cond-mat/0105191, arXiv.org.

    Cited by:

    1. Nieto, María Rosa & Ruiz Ortega, Esther, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Istvan Varga-Haszonits & Imre Kondor, 2008. "The instability of downside risk measures," Papers 0811.0800, arXiv.org, revised Nov 2008.
    3. Luis Fernando Melo Velandia & Oscar Reinaldo Becerra Camargo, 2005. "Medidas De Riesgo, Caracteristicas Y Técnicas De Medición: Una Aplicación Del Var Y El Es A La Tasa Interbancaria De Colombia," Borradores de Economia 3198, Banco de la Republica.
    4. Winter, Peter, 2007. "Managerial Risk Accounting and Control – A German perspective," MPRA Paper 8185, University Library of Munich, Germany.
    5. John Cotter & Kevin Dowd, 2011. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," Papers 1103.5653, arXiv.org.
    6. Dilip mookerhjee, 2005. "New Directions in Development Economics: Theory or Empirics? - Is There Too Little Theory in Development Economics?," Boston University - Department of Economics - Working Papers Series WP2005-028, Boston University - Department of Economics.
    7. Srečko Devjak & Andraž Grum, 2006. "Third Moment of Yield Probability Distributions for Instruments on Slovenian Financial Markets," Prague Economic Papers, Prague University of Economics and Business, vol. 2006(4), pages 364-373.
    8. Acerbi Carlo & Simonetti Prospero, 2002. "Portfolio Optimization with Spectral Measures of Risk," Papers cond-mat/0203607, arXiv.org.
    9. Xiao, Zhijie, 2009. "Quantile cointegrating regression," Journal of Econometrics, Elsevier, vol. 150(2), pages 248-260, June.
    10. Vona Mate, 2014. "Modern Risk Measures For Individual Higher Education Investment Risk Evaluation," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 773-780, July.
    11. Danielsson, Jon & Jorgensen, Bjørn N. & Mandira, Sarma & Samorodnitsky, Gennady & Vries, C. G. de, 2005. "Subadditivity re–examined: the case for value-at-risk," LSE Research Online Documents on Economics 24668, London School of Economics and Political Science, LSE Library.
    12. 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.
    13. Wojciech Antoniak, 2013. "Wpływ reasekuracji i retrocesji na własności składek," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 31, pages 77-97.
    14. Henryk Zähle, 2011. "Rates of almost sure convergence of plug-in estimates for distortion risk measures," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 74(2), pages 267-285, September.
    15. Susanne Emmer & Dirk Tasche, 2003. "Calculating credit risk capital charges with the one-factor model," Papers cond-mat/0302402, arXiv.org, revised Jan 2005.
    16. Ainura Tursunalieva & Param Silvapulle, 2013. "Non-parametric Estimation of Operational Risk and Expected Shortfall," Monash Econometrics and Business Statistics Working Papers 23/13, Monash University, Department of Econometrics and Business Statistics.
    17. Krastyu Georgiev & Young Kim & Stoyan Stoyanov, 2015. "Periodic portfolio revision with transaction costs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 81(3), pages 337-359, June.
    18. Guanghui Huang & Jing Xu & Wenting Xing, 2011. "Hedging strategies with a put option and their failure rates," Papers 1110.0159, arXiv.org.
    19. Gürtler, Marc & Hibbeln, Martin & Vöhringer, Clemens, 2007. "Measuring concentration risk for regulatory purposes," Working Papers IF26V4, Technische Universität Braunschweig, Institute of Finance.
    20. Jos'e Igor Morlanes, 2017. "Mixed Models as an Alternative to Farima," Papers 1712.03044, arXiv.org.
    21. Choo, Weihao & de Jong, Piet, 2009. "Loss reserving using loss aversion functions," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 271-277, October.
    22. De Giorgi, Enrico, 2005. "Reward-risk portfolio selection and stochastic dominance," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 895-926, April.
    23. Trindade, A. Alexandre & Zhu, Yun, 2007. "Approximating the distributions of estimators of financial risk under an asymmetric Laplace law," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3433-3447, April.
    24. Carlo Acerbi, 2001. "Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem," Papers cond-mat/0107190, arXiv.org.
    25. Feng, Zhen-Hua & Wei, Yi-Ming & Wang, Kai, 2012. "Estimating risk for the carbon market via extreme value theory: An empirical analysis of the EU ETS," Applied Energy, Elsevier, vol. 99(C), pages 97-108.
    26. Puzanova, Natalia, 2011. "A hierarchical model of tail dependent asset returns for assessing portfolio credit risk," Discussion Paper Series 2: Banking and Financial Studies 2011,16, Deutsche Bundesbank.
    27. Konstantinos Anagnostopoulos & Georgios Mamanis, 2011. "Multiobjective evolutionary algorithms for complex portfolio optimization problems," Computational Management Science, Springer, vol. 8(3), pages 259-279, August.
    28. Falk, Michael & Guillou, Armelle, 2008. "Peaks-over-threshold stability of multivariate generalized Pareto distributions," Journal of Multivariate Analysis, Elsevier, vol. 99(4), pages 715-734, April.
    29. Elisabetta Cagna & Giulio Casuccio, 2014. "Equally-weighted Risk Contribution Portfolios: an empirical study using expected shortfall," CeRP Working Papers 142, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    30. Witt, Rudolf & Waibel, Hermann, 2009. "Lower Partial Moments as a measure of vulnerability to poverty in Cameroon," Hannover Economic Papers (HEP) dp-434, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    31. Myles Brennan & Adam Kobor & Vidhya Rustaman, 2011. "Diversifying market and default risk in high grade sovereign bond portfolios," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 49-74, Bank for International Settlements.
    32. Daníelsson, Jón & Jorgensen, Bjørn N. & Samorodnitsky, Gennady & Sarma, Mandira & de Vries, Casper G., 2013. "Fat tails, VaR and subadditivity," Journal of Econometrics, Elsevier, vol. 172(2), pages 283-291.
    33. Nieto, María Rosa & Ruiz Ortega, Esther, 2010. "Bootstrap prediction intervals for VaR and ES in the context of GARCH models," DES - Working Papers. Statistics and Econometrics. WS ws102814, Universidad Carlos III de Madrid. Departamento de Estadística.
    34. Alexandre Street, 2010. "On the Conditional Value-at-Risk probability-dependent utility function," Theory and Decision, Springer, vol. 68(1), pages 49-68, February.
    35. Cotter, John, 2007. "Extreme risk in Asian equity markets," MPRA Paper 3536, University Library of Munich, Germany.
    36. Luis Fernando Melo Velandia & Oscar reinaldo Becerra Camargo, 2005. "Medidas de Riesgo, Características y Técnicas de Medición: Una Aplicación del VAR y el ES a la Tasa Interbancaria de Colombia," Borradores de Economia 343, Banco de la Republica de Colombia.
    37. 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).
    38. Quaranta, Anna Grazia & Zaffaroni, Alberto, 2008. "Robust optimization of conditional value at risk and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2046-2056, October.

Articles

  1. Carlo Acerbi & Giacomo Scandolo, 2008. "Liquidity risk theory and coherent measures of risk," Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 681-692.

    Cited by:

    1. Peter Csoka & Judit Hever, 2017. "Portfolio valuation under liquidity constraints with permanent price impact," CERS-IE WORKING PAPERS 1736, Institute of Economics, Centre for Economic and Regional Studies.
    2. Csóka, P. & Herings, P.J.J., 2013. "Risk allocation under liquidity constraints," Research Memorandum 057, Maastricht University, Graduate School of Business and Economics (GSBE).
    3. Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2020. "Liquidity, implied volatility and tail risk: A comparison of liquidity measures," International Review of Financial Analysis, Elsevier, vol. 69(C).
    4. Csóka, Péter & Pintér, Miklós, 2010. "On the impossibility of fair risk allocation," MPRA Paper 26515, University Library of Munich, Germany.
    5. Peter Csoka & Judit Hever, 2023. "The Effect of Regulatory Requirements and ESG Promotion on Market Liquidity," MNB Working Papers 2023/1, Magyar Nemzeti Bank (Central Bank of Hungary).
    6. Marco Bianchetti & Mattia Carlicchi, 2013. "Markets Evolution After the Credit Crunch," Papers 1301.7078, arXiv.org.
    7. Csóka, Péter & Bihary, Zsolt & Kondor, Gábor, 2018. "A részvénytartás spektrális kockázata hosszú távon [On the spectral measure of risk in holding stocks in the long run]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 687-700.
    8. Jianping Li & Lu Wei & Cheng-Few Lee & Xiaoqian Zhu & Dengsheng Wu, 2018. "Financial statements based bank risk aggregation," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 673-694, April.
    9. Balog, Dóra & Bátyi, Tamás László & Csóka, Péter & Pintér, Miklós, 2014. "Properties of risk capital allocation methods: Core Compatibility, Equal Treatment Property and Strong Monotonicity," Corvinus Economics Working Papers (CEWP) 2014/13, Corvinus University of Budapest.
    10. Erindi Allaj, 2014. "Risk measuring under liquidity risk," Papers 1412.6745, arXiv.org.
    11. Hevér, Judit, 2017. "A likviditás és a permanens árhatás szerepe a portfólióértékelésben [The role of liquidity policy and permanent price impact in portfolio valuation]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 594-611.
    12. Marco, Bianchetti & Mattia, Carlicchi, 2012. "Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR," MPRA Paper 42248, University Library of Munich, Germany.
    13. Fabio Caccioli & Jean-Philippe Bouchaud & J. Doyne Farmer, 2012. "A proposal for impact-adjusted valuation: Critical leverage and execution risk," Papers 1204.0922, arXiv.org, revised Aug 2012.
    14. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2016. "Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach," Papers 1610.07694, arXiv.org, revised Jun 2019.
    15. Andreas H Hamel, 2018. "Monetary Measures of Risk," Papers 1812.04354, arXiv.org.
    16. Damiano Brigo & Mirela Predescu & Agostino Capponi, 2010. "Credit Default Swaps Liquidity modeling: A survey," Papers 1003.0889, arXiv.org, revised Mar 2010.
    17. Zsolt Bihary & Péter Csóka & Dávid Zoltán Szabó, 2020. "Spectral risk measure of holding stocks in the long run," Annals of Operations Research, Springer, vol. 295(1), pages 75-89, December.
    18. Csóka, Péter & Bátyi, Tamás László & Pintér, Miklós & Balog, Dóra, 2011. "Tőkeallokációs módszerek és tulajdonságaik a gyakorlatban [Methods of capital allocation and their characteristics in practice]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 619-632.
    19. Kountzakis, C. & Polyrakis, I.A., 2013. "Coherent risk measures in general economic models and price bubbles," Journal of Mathematical Economics, Elsevier, vol. 49(3), pages 201-209.
    20. Marcelo Brutti Righi & Marlon Ruoso Moresco, 2022. "Star-Shaped deviations," Papers 2207.08613, arXiv.org.
    21. Stange, Sebastian & Kaserer, Christoph, 2008. "Why and how to integrate liquidity risk into a VaR-framework," CEFS Working Paper Series 2008-10, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
    22. Michael Adusei, 2022. "The liquidity risk–financial performance nexus: Evidence from hybrid financial institutions," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(1), pages 31-47, January.
    23. Bianchetti, Marco & Carlicchi, Mattia, 2012. "Markets Evolution After the Credit Crunch," MPRA Paper 44023, University Library of Munich, Germany.
    24. Banerjee, Tathagata & Feinstein, Zachary, 2021. "Price mediated contagion through capital ratio requirements with VWAP liquidation prices," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1147-1160.
    25. Sebestyén, Tamás, 2016. "Doktoranduszhallgatók IV. Nyári Műhelye. MKE-PTE KTK, Pécs, 2016. június 3 [The 4th Summer Workshop of Doctoral Students. Hungarian Economics Association/Pécs University, Faculty of Economics]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 1011-1018.
    26. Balog, Dóra & Bátyi, Tamás László & Csóka, Péter & Pintér, Miklós, 2017. "Properties and comparison of risk capital allocation methods," European Journal of Operational Research, Elsevier, vol. 259(2), pages 614-625.
    27. Csóka, Péter, 2017. "Fair risk allocation in illiquid markets," Finance Research Letters, Elsevier, vol. 21(C), pages 228-234.
    28. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2016. "Liquidity Risk And Instabilities In Portfolio Optimization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-28, August.
    29. Csóka, Péter & Havran, Dániel & Váradi, Kata, 2013. "Konferencia a pénzügyi piacok likviditásáról. Third Annual Financial Market Liquidity Conference BCE Befektetések és Vállalati Pénzügy Tanszék-MTA KRTK KTI Játékelméleti Kutatócsoport-Nemzetközi Banká," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(4), pages 477-485.
    30. Hans Rau-Bredow, 2019. "Bigger Is Not Always Safer: A Critical Analysis of the Subadditivity Assumption for Coherent Risk Measures," Risks, MDPI, vol. 7(3), pages 1-18, August.
    31. Daniel Lacker, 2018. "Liquidity, Risk Measures, and Concentration of Measure," Mathematics of Operations Research, INFORMS, vol. 43(3), pages 813-837, August.
    32. Judit Hevér & Péter Csóka, 2023. "The effect of funding liquidity regulation and ESG promotion on market liquidity," CERS-IE WORKING PAPERS 2307, Institute of Economics, Centre for Economic and Regional Studies.
    33. Tomasz R. Bielecki & Igor Cialenco & Tao Chen, 2014. "Dynamic Conic Finance via Backward Stochastic Difference Equations," Papers 1412.6459, arXiv.org, revised Dec 2014.
    34. Armstrong, John & Brigo, Damiano, 2019. "Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 122-135.
    35. Mariano González-Sánchez & Eva M. Ibáñez Jiménez & Ana I. Segovia San Juan, 2021. "Market and Liquidity Risks Using Transaction-by-Transaction Information," Mathematics, MDPI, vol. 9(14), pages 1-14, July.
    36. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2018. "Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization," Papers 1803.11467, arXiv.org, revised Sep 2018.
    37. Daniel Havran & Kata Varadi, 2015. "Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?," CERS-IE WORKING PAPERS 1540, Institute of Economics, Centre for Economic and Regional Studies.
    38. Daniel Lacker, 2015. "Liquidity, risk measures, and concentration of measure," Papers 1510.07033, arXiv.org, revised Oct 2015.
    39. Edward Tsang & Richard Olsen & Shaimaa Masry, 2012. "A formalization of double auction market dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 13(7), pages 981-988, October.
    40. Marcelo Brutti Righi, 2021. "Star-shaped acceptability indexes," Papers 2110.08630, arXiv.org, revised Jun 2022.
    41. Havran, Dániel & Erb, Tamás, 2015. "Mit veszítünk a piaci súrlódásokkal?. A pénzügyi piacok mikrostruktúrája [Trading mechanisms and market frictions. Microstructure of the financial markets]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 229-262.
    42. Thomas Paul & Thomas Walther & André Küster-Simic, 2022. "Empirical analysis of the illiquidity premia of German real estate securities," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 203-260, June.
    43. Hevér, Judit, 2020. "A piaci likviditás és a szabályozás kapcsolatának vizsgálata általános egyensúlyelméleti modellkeretben [The effect of regulation on market liquidity: a general equilibrium approach]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 708-733.

  2. Carlo Acerbi, 2007. "Coherent measures of risk in everyday market practice," Quantitative Finance, Taylor & Francis Journals, vol. 7(4), pages 359-364.

    Cited by:

    1. Rama Cont & Romain Deguest & Xuedong He, 2011. "Loss-Based Risk Measures," Working Papers hal-00629929, HAL.
    2. Anna E. Olkova, 2017. "Mutual Funds Performance Assessment Techniques: Comparative Analysis," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 85-95, June.
    3. Mandal, Maitreyi & Lagerkvist, Carl Johan, 2012. "A Comparison of Traditional and Copula based VaR with Agricultural portfolio," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124387, Agricultural and Applied Economics Association.
    4. Wächter, Hans Peter & Mazzoni, Thomas, 2013. "Consistent modeling of risk averse behavior with spectral risk measures," European Journal of Operational Research, Elsevier, vol. 229(2), pages 487-495.
    5. Barczy, Mátyás & K. Nedényi, Fanni & Sütő, László, 2023. "Probability equivalent level of Value at Risk and higher-order Expected Shortfalls," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 107-128.
    6. Giovanni Paolo Crespi & Elisa Mastrogiacomo, 2020. "Qualitative robustness of set-valued value-at-risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 91(1), pages 25-54, February.
    7. Rama Cont & Romain Deguest & Giacomo Scandolo, 2010. "Robustness and sensitivity analysis of risk measurement procedures," Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 593-606.
    8. Lamb, John D. & Tee, Kai-Hong, 2012. "Data envelopment analysis models of investment funds," European Journal of Operational Research, Elsevier, vol. 216(3), pages 687-696.
    9. Cont Rama & Deguest Romain & He Xue Dong, 2013. "Loss-based risk measures," Statistics & Risk Modeling, De Gruyter, vol. 30(2), pages 133-167, June.
    10. Chen, Songjiao & Wilson, William W. & Larsen, Ryan A. & Dahl, Bruce L., 2013. "Investing in Agriculture as an Asset Class," Agribusiness & Applied Economics Report 147053, North Dakota State University, Department of Agribusiness and Applied Economics.
    11. Larsen, Ryan A. & Vedenov, Dmitry V. & Leatham, David J., 2009. "Enterprise-level risk assessment of geographically diversified commercial farms: a copula approach," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 46763, Southern Agricultural Economics Association.
    12. Ruodu Wang & Johanna F. Ziegel, 2014. "Distortion Risk Measures and Elicitability," Papers 1405.3769, arXiv.org, revised May 2014.
    13. Pitera, Marcin & Schmidt, Thorsten, 2018. "Unbiased estimation of risk," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 133-145.
    14. Rama Cont & Romain Deguest & Xuedong He, 2011. "Loss-Based Risk Measures," Papers 1110.1436, arXiv.org, revised Apr 2013.
    15. Alexandre Street, 2010. "On the Conditional Value-at-Risk probability-dependent utility function," Theory and Decision, Springer, vol. 68(1), pages 49-68, February.
    16. Marcin Pitera & Thorsten Schmidt, 2016. "Unbiased estimation of risk," Papers 1603.02615, arXiv.org, revised Aug 2017.
    17. Brandtner, Mario, 2018. "Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 138-149.
    18. Matyas Barczy & Fanni K. Ned'enyi & L'aszl'o SutH{o}, 2022. "Probability equivalent level of Value at Risk and higher-order Expected Shortfalls," Papers 2202.09770, arXiv.org, revised Nov 2022.

  3. 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.

    Cited by:

    1. Nilay Noyan & Gábor Rudolf, 2013. "Optimization with Multivariate Conditional Value-at-Risk Constraints," Operations Research, INFORMS, vol. 61(4), pages 990-1013, August.
    2. Sofiane Aboura, 2014. "When the U.S. Stock Market Becomes Extreme?," Risks, MDPI, vol. 2(2), pages 1-15, May.
    3. Nieto, María Rosa & Ruiz Ortega, Esther, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Rama Cont & Romain Deguest & Xuedong He, 2011. "Loss-Based Risk Measures," Working Papers hal-00629929, HAL.
    5. Wentao Hu & Cuixia Chen & Yufeng Shi & Ze Chen, 2022. "A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 831-874, June.
    6. Matyska, Branka, 2021. "Salience, systemic risk and spectral risk measures as capital requirements," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
    7. Adam, Lukáš & Branda, Martin, 2021. "Risk-aversion in data envelopment analysis models with diversification," Omega, Elsevier, vol. 102(C).
    8. Serge Darolles & Christian Gouriéroux & Emmanuelle Jay, 2012. "Robust Portfolio Allocation with Systematic Risk Contribution Restrictions," Working Papers 2012-35, Center for Research in Economics and Statistics.
    9. Dietmar Ernst, 2023. "Risk Measures in Simulation-Based Business Valuation: Classification of Risk Measures in Risk Axiom Systems and Application in Valuation Practice," Risks, MDPI, vol. 11(1), pages 1-14, January.
    10. Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2011. "Portfolio selection problems in practice: a comparison between linear and quadratic optimization models," Papers 1105.3594, arXiv.org.
    11. Major, John A., 2018. "Distortion measures and homogeneous financial derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 82-91.
    12. Adil Rengim Cetingoz & Jean-David Fermanian & Olivier Gu'eant, 2022. "Risk Budgeting Portfolios: Existence and Computation," Papers 2211.07212, arXiv.org, revised Sep 2023.
    13. Liu, Francis & Packham, Natalie & Lu, Meng-Jou & Härdle, Wolfgang, 2021. "Hedging cryptos with Bitcoin futures," IRTG 1792 Discussion Papers 2022-001, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    14. Szego, Giorgio, 2002. "Measures of risk," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1253-1272, July.
    15. Mao, Tiantian & Wang, Ruodu, 2015. "On aggregation sets and lower-convex sets," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 170-181.
    16. Johannes Leitner, 2008. "Fair (intra-bank transfer) prices for credits with stochastic recovery," Annals of Finance, Springer, vol. 4(2), pages 243-253, March.
    17. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2020. "Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall," International Review of Financial Analysis, Elsevier, vol. 70(C).
    18. Chen, Zhiping & Yang, Li, 2011. "Nonlinearly weighted convex risk measure and its application," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1777-1793, July.
    19. Csóka, P. & Herings, P.J.J. & Kóczy, L.Á., 2007. "Balancedness conditions for exact games," Research Memorandum 040, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    20. Mike K. P. So & Chi-Ming Wong, 2012. "Estimation of multiple period expected shortfall and median shortfall for risk management," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 739-754, March.
    21. Hirbod Assa, 2015. "Risk management under a prudential policy," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(2), pages 217-230, October.
    22. Niels Wesselhöfft & Wolfgang K. Härdle, 2020. "Risk-Constrained Kelly Portfolios Under Alpha-Stable Laws," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 801-826, March.
    23. Tobias Fissler & Silvana M. Pesenti, 2022. "Sensitivity Measures Based on Scoring Functions," Papers 2203.00460, arXiv.org, revised Jul 2022.
    24. John A. Major & Stephen J. Mildenhall, 2020. "Pricing and Capital Allocation for Multiline Insurance Firms With Finite Assets in an Imperfect Market," Papers 2008.12427, arXiv.org.
    25. Dilip B. Madan & Yazid M. Sharaiha, 2015. "Option overlay strategies," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1175-1190, July.
    26. Engsner, Hampus & Lindholm, Mathias & Lindskog, Filip, 2017. "Insurance valuation: A computable multi-period cost-of-capital approach," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 250-264.
    27. Anna E. Olkova, 2017. "Mutual Funds Performance Assessment Techniques: Comparative Analysis," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 85-95, June.
    28. Chuancun Yin & Dan Zhu, 2015. "New class of distortion risk measures and their tail asymptotics with emphasis on VaR," Papers 1503.08586, arXiv.org, revised Mar 2016.
    29. John Cotter & Kevin Dowd, 2011. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," Papers 1103.5653, arXiv.org.
    30. AMARANTE, Massimiliano, 2013. "A Representation of Risk Measures," Cahiers de recherche 2013-08, Universite de Montreal, Departement de sciences economiques.
    31. Psarrakos, Georgios & Sordo, Miguel A., 2019. "On a family of risk measures based on proportional hazards models and tail probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 232-240.
    32. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy, 2022. "Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion," Annals of Operations Research, Springer, vol. 313(2), pages 691-712, June.
    33. Eric Beutner & Henryk Zähle, 2018. "Bootstrapping Average Value at Risk of Single and Collective Risks," Risks, MDPI, vol. 6(3), pages 1-30, September.
    34. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2017. "On a robust risk measurement approach for capital determination errors minimization," Papers 1707.09829, arXiv.org, revised Oct 2020.
    35. Stelios Bekiros & Nikolaos Loukeris & Iordanis Eleftheriadis & Christos Avdoulas, 2019. "Tail-Related Risk Measurement and Forecasting in Equity Markets," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 783-816, February.
    36. Tuoyuan Cheng & Kan Chen, 2023. "A General Framework for Portfolio Construction Based on Generative Models of Asset Returns," Papers 2312.03294, arXiv.org.
    37. Marcelo Brutti Righi, 2015. "A composition between risk and deviation measures," Papers 1511.06943, arXiv.org, revised May 2018.
    38. Viet Anh Nguyen & Soroosh Shafiee & Damir Filipovi'c & Daniel Kuhn, 2021. "Mean-Covariance Robust Risk Measurement," Papers 2112.09959, arXiv.org, revised Nov 2023.
    39. Dávid Zoltán Szabó & Kata Váradi, 2022. "Margin requirements based on a stochastic correlation model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1797-1820, October.
    40. Martin Herdegen & Nazem Khan, 2022. "Mean‐ρ$\rho$ portfolio selection and ρ$\rho$‐arbitrage for coherent risk measures," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 226-272, January.
    41. Hampus Engsner & Mathias Lindholm & Filip Lindskog, 2016. "Insurance valuation: a computable multi-period cost-of-capital approach," Papers 1607.04100, arXiv.org.
    42. Péter Csóka & Jean-Jacques Herings & László Kóczy, 2006. "Coherent Measures of Risk from a General Equilibrium Perspective," CERS-IE WORKING PAPERS 0611, Institute of Economics, Centre for Economic and Regional Studies, revised 30 Aug 2006.
    43. Zhiping Chen & Jia Liu & Gang Li & Zhe Yan, 2016. "Composite time-consistent multi-period risk measure and its application in optimal portfolio selection," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(3), pages 515-540, October.
    44. Fu, Tianwen & Zhuang, Xinkai & Hui, Yongchang & Liu, Jia, 2017. "Convex risk measures based on generalized lower deviation and their applications," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 27-37.
    45. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2022. "A risk measurement approach from risk-averse stochastic optimization of score functions," Papers 2208.14809, arXiv.org, revised May 2023.
    46. Kevin Dowd & John Cotter, 2011. "Evaluating the Precision of Estimators of Quantile-Based Risk Measures," Papers 1103.5665, arXiv.org.
    47. Albrecht, Peter & Huggenberger, Markus, 2017. "The fundamental theorem of mutual insurance," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 180-188.
    48. Fuchs Sebastian & Trutschnig Wolfgang, 2020. "On quantile based co-risk measures and their estimation," Dependence Modeling, De Gruyter, vol. 8(1), pages 396-416, January.
    49. Dominique Guegan & Bertrand K. Hassani, 2016. "Risk Measures At Risk- Are we missing the point? Discussions around sub-additivity and distortion," Post-Print halshs-01318093, HAL.
    50. Nomikos, Nikos & Andriosopoulos, Kostas, 2012. "Modelling energy spot prices: Empirical evidence from NYMEX," Energy Economics, Elsevier, vol. 34(4), pages 1153-1169.
    51. Csóka, Péter & Bihary, Zsolt & Kondor, Gábor, 2018. "A részvénytartás spektrális kockázata hosszú távon [On the spectral measure of risk in holding stocks in the long run]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 687-700.
    52. Choo, Weihao & de Jong, Piet, 2015. "The tradeoff insurance premium as a two-sided generalisation of the distortion premium," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 238-246.
    53. Nicole Bauerle & Alexander Glauner, 2020. "Minimizing Spectral Risk Measures Applied to Markov Decision Processes," Papers 2012.04521, arXiv.org.
    54. Andreas Tsanakas & Pietro Millossovich, 2016. "Sensitivity Analysis Using Risk Measures," Risk Analysis, John Wiley & Sons, vol. 36(1), pages 30-48, January.
    55. Suparna Biswas & Rituparna Sen, 2019. "Kernel Based Estimation of Spectral Risk Measures," Papers 1903.03304, arXiv.org, revised Dec 2023.
    56. Denis Chetverikov & Yukun Liu & Aleh Tsyvinski, 2022. "Weighted-average quantile regression," Papers 2203.03032, arXiv.org.
    57. Farzan Soleymani & Eric Paquet, 2021. "Deep Graph Convolutional Reinforcement Learning for Financial Portfolio Management -- DeepPocket," Papers 2105.08664, arXiv.org.
    58. Marcelo Brutti Righi & Marlon Ruoso Moresco, 2020. "Inf-convolution and optimal risk sharing with countable sets of risk measures," Papers 2003.05797, arXiv.org, revised Mar 2022.
    59. Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
    60. Marcelo Brutti Righi, 2019. "A composition between risk and deviation measures," Annals of Operations Research, Springer, vol. 282(1), pages 299-313, November.
    61. Kevin Dowd & John Cotter, 2011. "Exponential Spectral Risk Measures," Papers 1103.5409, arXiv.org.
    62. Csóka, Péter & Herings, P. Jean-Jacques & Kóczy, László Á., 2009. "Stable allocations of risk," Games and Economic Behavior, Elsevier, vol. 67(1), pages 266-276, September.
    63. Lima Miquelluti, Daniel & Ozaki, Vitor & Miquelluti, David J., 2020. "An application of geographically weighted quantile LASSO to weather index insurance design," 2020 Annual Meeting, July 26-28, Kansas City, Missouri 304288, Agricultural and Applied Economics Association.
    64. Laurent Gardes & Stéphane Girard, 2021. "On the estimation of the variability in the distribution tail," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(4), pages 884-907, December.
    65. Dominique Guegan & Bertrand K. Hassani, 2016. "Risk Measures At Risk- Are we missing the point? Discussions around sub-additivity and distortion," Documents de travail du Centre d'Economie de la Sorbonne 16039, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    66. Dimitris Bertsimas & David B. Brown, 2009. "Constructing Uncertainty Sets for Robust Linear Optimization," Operations Research, INFORMS, vol. 57(6), pages 1483-1495, December.
    67. Johannes Leitner, 2008. "Risk-adjusted value allocation for (non-traded) assets with performance ratios," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 93-102.
    68. Fabrice Barthélémy, 2014. "Cornish-Fisher Expansion for Commercial Real Estate Value at Risk," THEMA Working Papers 2014-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    69. Wei Wang & Huifu Xu, 2023. "Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making," Computational Management Science, Springer, vol. 20(1), pages 1-51, December.
    70. Wächter, Hans Peter & Mazzoni, Thomas, 2013. "Consistent modeling of risk averse behavior with spectral risk measures," European Journal of Operational Research, Elsevier, vol. 229(2), pages 487-495.
    71. Silvana Pesenti & Qiuqi Wang & Ruodu Wang, 2020. "Optimizing distortion riskmetrics with distributional uncertainty," Papers 2011.04889, arXiv.org, revised Feb 2022.
    72. Laszlo A. Koczy, 2019. "The risk-based core for cooperative games with uncertainty," CERS-IE WORKING PAPERS 1906, Institute of Economics, Centre for Economic and Regional Studies.
    73. Bazovkin, Pavel & Mosler, Karl, 2011. "Stochastic linear programming with a distortion risk constraint," Discussion Papers in Econometrics and Statistics 6/11, University of Cologne, Institute of Econometrics and Statistics.
    74. Gao, Huan & Mamon, Rogemar & Liu, Xiaoming, 2017. "Risk measurement of a guaranteed annuity option under a stochastic modelling framework," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 132(C), pages 100-119.
    75. Jianming Xia, 2021. "Optimal Investment with Risk Controlled by Weighted Entropic Risk Measures," Papers 2112.02284, arXiv.org.
    76. Hirbod Assa & Keivan Mallahi Karai, 2013. "Hedging, Pareto Optimality, and Good Deals," Journal of Optimization Theory and Applications, Springer, vol. 157(3), pages 900-917, June.
    77. Giovanni Paolo Crespi & Elisa Mastrogiacomo, 2020. "Qualitative robustness of set-valued value-at-risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 91(1), pages 25-54, February.
    78. Berkhouch, Mohammed & Lakhnati, Ghizlane, 2017. "Extended Gini-type measures of risk and variability," MPRA Paper 80329, University Library of Munich, Germany.
    79. Wei Wang & Huifu Xu, 2023. "Preference robust distortion risk measure and its application," Mathematical Finance, Wiley Blackwell, vol. 33(2), pages 389-434, April.
    80. Cameron A. MacKenzie, 2014. "Summarizing Risk Using Risk Measures and Risk Indices," Risk Analysis, John Wiley & Sons, vol. 34(12), pages 2143-2162, December.
    81. Cotter, John & Dowd, Kevin, 2007. "Estimating financial risk measures for futures positions: a non-parametric approach," MPRA Paper 3503, University Library of Munich, Germany.
    82. Wesselhöfft, Niels & Härdle, Wolfgang Karl, 2019. "Constrained Kelly portfolios under alpha-stable laws," IRTG 1792 Discussion Papers 2019-004, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    83. Jungsywan H. Sepanski & Xiwen Wang, 2023. "New Classes of Distortion Risk Measures and Their Estimation," Risks, MDPI, vol. 11(11), pages 1-21, November.
    84. Dan A. Iancu & Marek Petrik & Dharmashankar Subramanian, 2011. "Tight Approximations of Dynamic Risk Measures," Papers 1106.6102, arXiv.org, revised Aug 2013.
    85. Tsanakas, Andreas, 2008. "Risk measurement in the presence of background risk," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 520-528, April.
    86. Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
    87. Girard, Stéphane & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022. "Functional estimation of extreme conditional expectiles," Econometrics and Statistics, Elsevier, vol. 21(C), pages 131-158.
    88. Pablo Cristini Guedes & Fernanda Maria Müller & Marcelo Brutti Righi, 2023. "Risk measures-based cluster methods for finance," Risk Management, Palgrave Macmillan, vol. 25(1), pages 1-56, March.
    89. Paraskevas Lekeas & Giorgos Stamatopoulos, 2014. "Cooperative oligopoly games with boundedly rational firms," Annals of Operations Research, Springer, vol. 223(1), pages 255-272, December.
    90. Furman, Edward & Wang, Ruodu & Zitikis, Ričardas, 2017. "Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 70-84.
    91. Henryk Zähle, 2011. "Rates of almost sure convergence of plug-in estimates for distortion risk measures," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 74(2), pages 267-285, September.
    92. Henryk, Gzyl & Silvia, Mayoral, 2006. "On a relationship between distorted and spectral risk measures," MPRA Paper 916, University Library of Munich, Germany.
    93. Alois Pichler, 2017. "A quantitative comparison of risk measures," Annals of Operations Research, Springer, vol. 254(1), pages 251-275, July.
    94. Ignacio Cascos & Ilya Molchanov, 2006. "Multivariate risks and depth-trimmed regions," Papers math/0606520, arXiv.org, revised Nov 2006.
    95. Md Akhtaruzzaman & Ramzi Benkraiem & Sabri Boubaker & Constantin Zopounidis, 2022. "COVID‐19 crisis and risk spillovers to developing economies: Evidence from Africa," Journal of International Development, John Wiley & Sons, Ltd., vol. 34(4), pages 898-918, May.
    96. F. W. Meng & J. Sun & M. Goh, 2010. "Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation," Journal of Optimization Theory and Applications, Springer, vol. 146(2), pages 399-418, August.
    97. Rama Cont & Romain Deguest & Giacomo Scandolo, 2010. "Robustness and sensitivity analysis of risk measurement procedures," Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 593-606.
    98. Assa, Hirbod, 2015. "On optimal reinsurance policy with distortion risk measures and premiums," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 70-75.
    99. Shuo Gong & Yijun Hu & Linxiao Wei, 2022. "Distortion risk measures in random environments: construction and axiomatic characterization," Papers 2211.00520, arXiv.org, revised Mar 2023.
    100. Alexander Vinel & Pavlo A. Krokhmal, 2017. "Certainty equivalent measures of risk," Annals of Operations Research, Springer, vol. 249(1), pages 75-95, February.
    101. Fasen Vicky & Svejda Adela, 2012. "Time consistency of multi-period distortion measures," Statistics & Risk Modeling, De Gruyter, vol. 29(2), pages 133-153, June.
    102. Omid Momen & Akbar Esfahanipour & Abbas Seifi, 2020. "A robust behavioral portfolio selection: model with investor attitudes and biases," Operational Research, Springer, vol. 20(1), pages 427-446, March.
    103. Ubukata, Masato, 2018. "Dynamic hedging performance and downside risk: Evidence from Nikkei index futures," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 270-281.
    104. Pesenti, Silvana M. & Tsanakas, Andreas & Millossovich, Pietro, 2018. "Euler allocations in the presence of non-linear reinsurance: Comment on Major (2018)," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 29-31.
    105. John A. Major, 2019. "Methodological Considerations in the Statistical Modeling of Catastrophe Bond Prices," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 22(1), pages 39-56, March.
    106. Melenberg, B. & Polbennikov, S.Y., 2005. "Testing for Mean-Coherent Regular Risk Spanning," Other publications TiSEM 0cd9ce8d-542e-418e-be38-f, Tilburg University, School of Economics and Management.
    107. Taylor, James W., 2022. "Forecasting Value at Risk and expected shortfall using a model with a dynamic omega ratio," Journal of Banking & Finance, Elsevier, vol. 140(C).
    108. Mohammed Berkhouch & Ghizlane Lakhnati & Marcelo Brutti Righi, 2017. "Extended Gini-type measures of risk and variability," Papers 1707.07322, arXiv.org, revised Mar 2018.
    109. Choo, Weihao & de Jong, Piet, 2016. "Insights to systematic risk and diversification across a joint probability distribution," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 142-150.
    110. Dirk Tasche, 2011. "Bayesian estimation of probabilities of default for low default portfolios," Papers 1112.5550, arXiv.org, revised Aug 2013.
    111. Samuel Solgon Santos & Marcelo Brutti Righi & Eduardo de Oliveira Horta, 2022. "The limitations of comonotonic additive risk measures: a literature review," Papers 2212.13864, arXiv.org, revised Jan 2024.
    112. Paul Dommel & Alois Pichler, 2020. "Convex Risk Measures based on Divergence," Papers 2003.07648, arXiv.org, revised Mar 2020.
    113. Andreas H Hamel, 2018. "Monetary Measures of Risk," Papers 1812.04354, arXiv.org.
    114. Georg Mainik & Ludger Rüschendorf, 2010. "On optimal portfolio diversification with respect to extreme risks," Finance and Stochastics, Springer, vol. 14(4), pages 593-623, December.
    115. Postek, K.S. & den Hertog, D. & Melenberg, B., 2015. "Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures (revision of CentER DP 2014-031)," Discussion Paper 2015-047, Tilburg University, Center for Economic Research.
    116. Labopin-Richard T. & Gamboa F. & Garivier A. & Iooss B., 2016. "Bregman superquantiles. Estimation methods and applications," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-33, March.
    117. Liu, Fangda & Cai, Jun & Lemieux, Christiane & Wang, Ruodu, 2020. "Convex risk functionals: Representation and applications," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 66-79.
    118. A. Ahmadi-Javid, 2012. "Entropic Value-at-Risk: A New Coherent Risk Measure," Journal of Optimization Theory and Applications, Springer, vol. 155(3), pages 1105-1123, December.
    119. Dimitrios G. Konstantinides & Georgios C. Zachos, 2019. "Exhibiting Abnormal Returns Under a Risk Averse Strategy," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 551-566, June.
    120. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
    121. Leili Javanmardi & Yuri Lawryshyn, 2016. "A new rank dependent utility approach to model risk averse preferences in portfolio optimization," Annals of Operations Research, Springer, vol. 237(1), pages 161-176, February.
    122. Kaluszka, M. & Laeven, R.J.A. & Okolewski, A., 2012. "A note on weighted premium calculation principles," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 379-381.
    123. Jacques Pézier, 2007. "Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory," ICMA Centre Discussion Papers in Finance icma-dp2008-05, Henley Business School, University of Reading, revised Dec 2008.
    124. Asimit, Alexandru V. & Badescu, Alexandru M. & Cheung, Ka Chun, 2013. "Optimal reinsurance in the presence of counterparty default risk," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 690-697.
    125. Fantazzini, Dean, 2008. "An Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 10(2), pages 91-137.
    126. Zsolt Bihary & Péter Csóka & Dávid Zoltán Szabó, 2020. "Spectral risk measure of holding stocks in the long run," Annals of Operations Research, Springer, vol. 295(1), pages 75-89, December.
    127. So Yeon Chun & Alexander Shapiro & Stan Uryasev, 2012. "Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics," Operations Research, INFORMS, vol. 60(4), pages 739-756, August.
    128. Wang, Qiuqi & Wang, Ruodu & Zitikis, Ričardas, 2022. "Risk measures induced by efficient insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 56-65.
    129. Xue Bai & Ramayya Krishnan & Rema Padman & Harry Jiannan Wang, 2013. "On Risk Management with Information Flows in Business Processes," Information Systems Research, INFORMS, vol. 24(3), pages 731-749, September.
    130. Barrieu, Pauline & Scandolo, Giacomo, 2015. "Assessing financial model risk," European Journal of Operational Research, Elsevier, vol. 242(2), pages 546-556.
    131. Jonathan Yu-Meng Li, 2016. "Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization," Papers 1609.04065, arXiv.org.
    132. Leorato, Samantha & Peracchi, Franco & Tanase, Andrei V., 2012. "Asymptotically efficient estimation of the conditional expected shortfall," Computational Statistics & Data Analysis, Elsevier, vol. 56(4), pages 768-784.
    133. Matteo Burzoni & Cosimo Munari & Ruodu Wang, 2020. "Adjusted Expected Shortfall," Papers 2007.08829, arXiv.org, revised Aug 2021.
    134. Matthias Fischer & Thorsten Moser & Marius Pfeuffer, 2018. "A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations," Risks, MDPI, vol. 6(4), pages 1-28, December.
    135. Angelidis, Timotheos & Degiannakis, Stavros, 2007. "Backtesting VaR Models: A Τwo-Stage Procedure," MPRA Paper 80418, University Library of Munich, Germany.
    136. Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Scholarly Articles 2624460, Harvard University Department of Economics.
    137. Taras Bodnar & Mathias Lindholm & Erik Thorsén & Joanna Tyrcha, 2021. "Quantile-based optimal portfolio selection," Computational Management Science, Springer, vol. 18(3), pages 299-324, July.
    138. Pichler, Alois, 2013. "The natural Banach space for version independent risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 405-415.
    139. Dávid Zoltán Szabó & Zsolt Bihary, 2023. "The riskiness of stock versus money market investment with stochastic rates," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 31(2), pages 393-415, June.
    140. John Cotter & Kevin Dowd, 2011. "Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements," Papers 1103.5408, arXiv.org.
    141. Jacques Pézier, 2011. "Rationalization of Investment Preference Criteria," ICMA Centre Discussion Papers in Finance icma-dp2011-12, Henley Business School, University of Reading.
    142. Brandtner, Mario & Kürsten, Wolfgang & Rischau, Robert, 2020. "Beyond expected utility: Subjective risk aversion and optimal portfolio choice under convex shortfall risk measures," European Journal of Operational Research, Elsevier, vol. 285(3), pages 1114-1126.
    143. Li, Yanhai & Ou, Jinwen, 2020. "Optimal ordering policy for complementary components with partial backordering and emergency replenishment under spectral risk measure," European Journal of Operational Research, Elsevier, vol. 284(2), pages 538-549.
    144. Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2015. "Linear vs. quadratic portfolio selection models with hard real-world constraints," Computational Management Science, Springer, vol. 12(3), pages 345-370, July.
    145. Mario Brandtner, 2016. "Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke," Management Review Quarterly, Springer, vol. 66(2), pages 75-115, April.
    146. Weiwei Li & Dejian Tian, 2023. "Robust optimized certainty equivalents and quantiles for loss positions with distribution uncertainty," Papers 2304.04396, arXiv.org.
    147. Dominique Guegan & Bertrand K. Hassani, 2016. "Risk Measures At Risk- Are we missing the point? Discussions around sub-additivity and distortion," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01318093, HAL.
    148. Brandtner, Mario & Kürsten, Wolfgang, 2017. "Consistent modeling of risk averse behavior with spectral risk measures: Wächter/Mazzoni revisited," European Journal of Operational Research, Elsevier, vol. 259(1), pages 394-399.
    149. Brandtner, Mario, 2013. "Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5526-5537.
    150. Pablo Koch-Medina & Santiago Moreno-Bromberg & Cosimo Munari, 2014. "Capital adequacy tests and limited liability of financial institutions," Papers 1401.3133, arXiv.org, revised Feb 2014.
    151. Koch-Medina, Pablo & Moreno-Bromberg, Santiago & Munari, Cosimo, 2015. "Capital adequacy tests and limited liability of financial institutions," Journal of Banking & Finance, Elsevier, vol. 51(C), pages 93-102.
    152. Wei Wang & Huifu Xu & Tiejun Ma, 2020. "Quantitative Statistical Robustness for Tail-Dependent Law Invariant Risk Measures," Papers 2006.15491, arXiv.org.
    153. Wyn Morgan & John Cotter & Kevin Dowd, 2012. "Extreme Measures of Agricultural Financial Risk," Journal of Agricultural Economics, Wiley Blackwell, vol. 63(1), pages 65-82, February.
    154. Choo, Weihao & de Jong, Piet, 2009. "Loss reserving using loss aversion functions," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 271-277, October.
    155. Valeriane Jokhadze & Wolfgang M. Schmidt, 2020. "Measuring Model Risk In Financial Risk Management And Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-37, April.
    156. Gneiting, Tilmann, 2011. "Making and Evaluating Point Forecasts," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 746-762.
    157. De Giorgi, Enrico, 2005. "Reward-risk portfolio selection and stochastic dominance," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 895-926, April.
    158. Haitham Nobanee & Maryam Alhajjar & Mohammed Ahmed Alkaabi & Majed Musabah Almemari & Mohamed Abdulla Alhassani & Naema Khamis Alkaabi & Saeed Abdulla Alshamsi & Hanan Hamed AlBlooshi, 2021. "A Bibliometric Analysis of Objective and Subjective Risk," Risks, MDPI, vol. 9(7), pages 1-20, July.
    159. Wolfgang Kürsten & Mario Brandtner, 2009. "Kohärente Risikomessung versus individuelle Akzeptanzmengen — Anmerkungen zum impliziten Risikoverständnis des “Conditional Value-at-Risk”," Schmalenbach Journal of Business Research, Springer, vol. 61(4), pages 358-381, June.
    160. Mantas Dirma & Saulius Paukštys & Jonas Šiaulys, 2021. "Tails of the Moments for Sums with Dominatedly Varying Random Summands," Mathematics, MDPI, vol. 9(8), pages 1-26, April.
    161. Alexander Cherny & Pavel Grigoriev, 2007. "Dilatation monotone risk measures are law invariant," Finance and Stochastics, Springer, vol. 11(2), pages 291-298, April.
    162. Kaluszka, Marek & Okolewski, Andrzej, 2011. "Stability of L-statistics from weakly dependent observations," Statistics & Probability Letters, Elsevier, vol. 81(5), pages 618-625, May.
    163. Georg Pflug & Nancy Wozabal, 2010. "Asymptotic distribution of law-invariant risk functionals," Finance and Stochastics, Springer, vol. 14(3), pages 397-418, September.
    164. Shi, Yue & Punzo, Antonio & Otneim, Håkon & Maruotti, Antonello, 2023. "Hidden semi-Markov models for rainfall-related insurance claims," Discussion Papers 2023/17, Norwegian School of Economics, Department of Business and Management Science.
    165. Mohammed Berkhouch & Fernanda Maria Müller & Ghizlane Lakhnati & Marcelo Brutti Righi, 2022. "Deviation-Based Model Risk Measures," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 527-547, February.
    166. Cossette, Hélène & Mailhot, Mélina & Marceau, Étienne, 2012. "TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 247-256.
    167. Barrieu, Pauline & Scandolo, Giacomo, 2014. "Assessing financial model risk," LSE Research Online Documents on Economics 60084, London School of Economics and Political Science, LSE Library.
    168. Alois Pichler, 2013. "Premiums And Reserves, Adjusted By Distortions," Papers 1304.0490, arXiv.org.
    169. Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics.
    170. Nicole Bäuerle & Alexander Glauner, 2021. "Minimizing spectral risk measures applied to Markov decision processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(1), pages 35-69, August.
    171. Raupach, Peter, 2015. "Calculating trading book capital: Is risk separation appropriate?," Discussion Papers 19/2015, Deutsche Bundesbank.
    172. Amarante, Massimiliano & Ghossoub, Mario, 2021. "Aggregation of opinions and risk measures," Journal of Economic Theory, Elsevier, vol. 196(C).
    173. Fissler, Tobias & Pesenti, Silvana M., 2023. "Sensitivity measures based on scoring functions," European Journal of Operational Research, Elsevier, vol. 307(3), pages 1408-1423.
    174. Hirbod Assa, 2014. "On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums," Papers 1406.2950, arXiv.org.
    175. Stavros Stavroyiannis, 2016. "Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution," Papers 1602.05749, arXiv.org.
    176. Embrechts Paul & Wang Ruodu, 2015. "Seven Proofs for the Subadditivity of Expected Shortfall," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-15, October.
    177. Shao, Hui & Zhang, Zhe George, 2023. "Distortion risk measure under parametric ambiguity," European Journal of Operational Research, Elsevier, vol. 311(3), pages 1159-1172.
    178. Takashi Kato, 2017. "Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level," Papers 1711.07335, arXiv.org.
    179. Gzyl, Henryk & Mayoral, Silvia, 2008. "Determination of risk pricing measures from market prices of risk," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 437-443, December.
    180. Dirk Tasche, 2002. "Expected Shortfall and Beyond," Papers cond-mat/0203558, arXiv.org, revised Oct 2002.
    181. Leitner Johannes, 2007. "Pricing and hedging with globally and instantaneously vanishing risk," Statistics & Risk Modeling, De Gruyter, vol. 25(4/2007), pages 1-22, October.
    182. Adam, Alexandre & Houkari, Mohamed & Laurent, Jean-Paul, 2008. "Spectral risk measures and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1870-1882, September.
    183. Leili Javanmardi & Yuri Lawryshyn, 2016. "A new rank dependent utility approach to model risk averse preferences in portfolio optimization," Annals of Operations Research, Springer, vol. 237(1), pages 161-176, February.
    184. Alexis Bonnet & Isabelle Nagot, 2005. "Methodology of measuring performance in alternative investment," Post-Print halshs-00196443, HAL.
    185. Gürtler, Marc & Koch, Florian, 2021. "Multidimensional skin in the game," Journal of Mathematical Economics, Elsevier, vol. 97(C).
    186. Larbi Ait-Hennani & Zoulikha Kaid & Ali Laksaci & Mustapha Rachdi, 2022. "Nonparametric Estimation of the Expected Shortfall Regression for Quasi-Associated Functional Data," Mathematics, MDPI, vol. 10(23), pages 1-23, November.
    187. Righi, Marcelo Brutti & Müller, Fernanda Maria & Moresco, Marlon Ruoso, 2020. "On a robust risk measurement approach for capital determination errors minimization," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 199-211.
    188. S. V. Stoyanov & S. T. Rachev & F. J. Fabozzi, 2007. "Optimal Financial Portfolios," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 401-436.
    189. Perica Ilak & Slavko Krajcar & Ivan Rajšl & Marko Delimar, 2014. "Pricing Energy and Ancillary Services in a Day-Ahead Market for a Price-Taker Hydro Generating Company Using a Risk-Constrained Approach," Energies, MDPI, vol. 7(4), pages 1-26, April.
    190. Cascos Fernández, Ignacio & Molchanov, Ilya, 2006. "Multivariate risks and depth-trimmed regions," DES - Working Papers. Statistics and Econometrics. WS ws063815, Universidad Carlos III de Madrid. Departamento de Estadística.
    191. Perica Ilak & Ivan Rajšl & Josip Đaković & Marko Delimar, 2018. "Duality Based Risk Mitigation Method for Construction of Joint Hydro-Wind Coordination Short-Run Marginal Cost Curves," Energies, MDPI, vol. 11(5), pages 1-12, May.
    192. Jonathan Yu-Meng Li, 2021. "Inverse Optimization of Convex Risk Functions," Management Science, INFORMS, vol. 67(11), pages 7113-7141, November.
    193. Zaks, Yaniv & Tsanakas, Andreas, 2014. "Optimal capital allocation in a hierarchical corporate structure," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 48-55.
    194. Boonen, Tim J. & Tsanakas, Andreas & Wüthrich, Mario V., 2017. "Capital allocation for portfolios with non-linear risk aggregation," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 95-106.
    195. Burzoni, Matteo & Munari, Cosimo & Wang, Ruodu, 2022. "Adjusted Expected Shortfall," Journal of Banking & Finance, Elsevier, vol. 134(C).
    196. Spada, Matteo & Paraschiv, Florentina & Burgherr, Peter, 2018. "A comparison of risk measures for accidents in the energy sector and their implications on decision-making strategies," Energy, Elsevier, vol. 154(C), pages 277-288.
    197. Pablo Koch-Medina & Cosimo Munari & Gregor Svindland, 2016. "Which eligible assets are compatible with comonotonic capital requirements?," Papers 1602.05477, arXiv.org, revised Jan 2021.
    198. Pesenti, Silvana M. & Millossovich, Pietro & Tsanakas, Andreas, 2019. "Reverse sensitivity testing: What does it take to break the model?," European Journal of Operational Research, Elsevier, vol. 274(2), pages 654-670.
    199. Xia Han & Ruodu Wang & Xun Yu Zhou, 2022. "Choquet regularization for reinforcement learning," Papers 2208.08497, arXiv.org.
    200. Ren, Rui & Lu, Meng-Jou & Li, Yingxing & Härdle, Wolfgang Karl, 2022. "Financial Risk Meter FRM based on Expectiles," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
    201. Gzyl, Henryk & Mayoral, Silvia, 2010. "A method for determining risk aversion functions from uncertain market prices of risk," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 84-89, August.
    202. Asimit, Alexandru V. & Badescu, Alexandru M. & Verdonck, Tim, 2013. "Optimal risk transfer under quantile-based risk measurers," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 252-265.
    203. Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea, 2017. "Multiple risk measures for multivariate dynamic heavy–tailed models," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 1-32.
    204. Miller, Naomi & Ruszczynski, Andrzej, 2008. "Risk-adjusted probability measures in portfolio optimization with coherent measures of risk," European Journal of Operational Research, Elsevier, vol. 191(1), pages 193-206, November.
    205. Erick Delage & Jonathan Yu-Meng Li, 2018. "Minimizing Risk Exposure When the Choice of a Risk Measure Is Ambiguous," Management Science, INFORMS, vol. 64(1), pages 327-344, January.
    206. Tasche, Dirk, 2002. "Expected shortfall and beyond," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1519-1533, July.
    207. Alexander Cherny & Damir Filipovi'c, 2011. "Concave Distortion Semigroups," Papers 1104.0508, arXiv.org.
    208. Marcin Fałdziński & Magdalena Osińska & Tomasz Zdanowicz, 2012. "Detecting Risk Transfer in Financial Markets using Different Risk Measures," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(1), pages 45-64, March.
    209. Ozun, Alper & Cifter, Atilla & Yilmazer, Sait, 2007. "Filtered Extreme Value Theory for Value-At-Risk Estimation," MPRA Paper 3302, University Library of Munich, Germany.
    210. Enilov, Martin & Mensi, Walid & Stankov, Petar, 2023. "Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic," Journal of Commodity Markets, Elsevier, vol. 29(C).
    211. D. Madan & M. Pistorius & M. Stadje, 2017. "On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation," Finance and Stochastics, Springer, vol. 21(4), pages 1073-1102, October.
    212. Elçi, Özgün & Noyan, Nilay, 2018. "A chance-constrained two-stage stochastic programming model for humanitarian relief network design," Transportation Research Part B: Methodological, Elsevier, vol. 108(C), pages 55-83.
    213. Zhu, Xujia & Sudret, Bruno, 2021. "Global sensitivity analysis for stochastic simulators based on generalized lambda surrogate models," Reliability Engineering and System Safety, Elsevier, vol. 214(C).
    214. Bellini Fabio & Rosazza Gianin Emanuela, 2008. "Optimal portfolios with Haezendonck risk measures," Statistics & Risk Modeling, De Gruyter, vol. 26(2), pages 89-108, March.
    215. Arıkan, Emel & Fichtinger, Johannes, 2017. "The risk-averse newsvendor problem under spectral risk measures: A classification with extensions," European Journal of Operational Research, Elsevier, vol. 256(1), pages 116-125.
    216. Maria-Laura Torrente & Pierpaolo Uberti, 2024. "Risk-adjusted geometric diversified portfolios," Quality & Quantity: International Journal of Methodology, Springer, vol. 58(1), pages 35-55, February.
    217. Martin Herdegen & Nazem Khan, 2020. "Mean-$\rho$ portfolio selection and $\rho$-arbitrage for coherent risk measures," Papers 2009.05498, arXiv.org, revised Jul 2021.
    218. Cont Rama & Deguest Romain & He Xue Dong, 2013. "Loss-based risk measures," Statistics & Risk Modeling, De Gruyter, vol. 30(2), pages 133-167, June.
    219. Massimiliano Barbi & Silvia Romagnoli, 2016. "Optimal hedge ratio under a subjective re-weighting of the original measure," Applied Economics, Taylor & Francis Journals, vol. 48(14), pages 1271-1280, March.
    220. A. Cherny, 2006. "Weighted V@R and its Properties," Finance and Stochastics, Springer, vol. 10(3), pages 367-393, September.
    221. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
    222. Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2551-2569, August.
    223. David E. Giles, 2010. "The Extreme-Value Dependence Between the Chinese and Other International Stock Markets," Econometrics Working Papers 1003, Department of Economics, University of Victoria.
    224. Li, Yanhai & Gu, Chaocheng & Ou, Jinwen, 2020. "Supporting a financially constrained supplier under spectral risk measures: The efficiency of buyer lending," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 136(C).
    225. Fabozzi Frank J. & Stoyanov Stoyan V. & Rachev Svetlozar T., 2013. "Computational aspects of portfolio risk estimation in volatile markets: a survey," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(1), pages 103-120, February.
    226. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
    227. Johanna F. Ziegel, 2013. "Coherence and elicitability," Papers 1303.1690, arXiv.org, revised Mar 2014.
    228. Gregor Dorfleitner, 2022. "On the use of the terminal-value approach in risk-value models," Annals of Operations Research, Springer, vol. 313(2), pages 877-897, June.
    229. Melenberg, B. & Polbennikov, S.Y., 2005. "Testing for Mean-Coherent Regular Risk Spanning," Discussion Paper 2005-99, Tilburg University, Center for Economic Research.
    230. Weiping Wu & Yu Lin & Jianjun Gao & Ke Zhou, 2023. "Mean-variance hybrid portfolio optimization with quantile-based risk measure," Papers 2303.15830, arXiv.org, revised Apr 2023.
    231. Sungchul Hong & Jong-June Jeon, 2023. "Uniform Pessimistic Risk and Optimal Portfolio," Papers 2303.07158, arXiv.org.
    232. Hung Nguyen & Uyen Pham & Hien Tran, 2012. "On some claims related to Choquet integral risk measures," Annals of Operations Research, Springer, vol. 195(1), pages 5-31, May.
    233. Tsanakas, Andreas, 2009. "To split or not to split: Capital allocation with convex risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 268-277, April.
    234. Bo Li & Antonio Arreola‐Risa, 2022. "Minimizing conditional value‐at‐risk under a modified basestock policy," Production and Operations Management, Production and Operations Management Society, vol. 31(4), pages 1822-1838, April.
    235. James Ming Chen, 2018. "On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles," Risks, MDPI, vol. 6(2), pages 1-28, June.
    236. Wang, Ruodu & Ziegel, Johanna F., 2015. "Elicitable distortion risk measures: A concise proof," Statistics & Probability Letters, Elsevier, vol. 100(C), pages 172-175.
    237. Chen, Zhiping & Wang, Yi, 2008. "Two-sided coherent risk measures and their application in realistic portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2667-2673, December.
    238. Pinelis, Iosif, 2013. "An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality," MPRA Paper 51361, University Library of Munich, Germany.
    239. Brandtner, Mario & Kürsten, Wolfgang, 2014. "Solvency II, regulatory capital, and optimal reinsurance: How good are Conditional Value-at-Risk and spectral risk measures?," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 156-167.
    240. Liu, Yangyang & Zhou, Jiangxin & Zhou, Qihui & Liu, Chuanquan & Yu, Feng, 2023. "Bidding strategy of integrated energy system considering decision maker’s subjective risk aversion," Applied Energy, Elsevier, vol. 341(C).
    241. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2021. "ExpectHill estimation, extreme risk and heavy tails," Journal of Econometrics, Elsevier, vol. 221(1), pages 97-117.
    242. Silvana M. Pesenti & Pietro Millossovich & Andreas Tsanakas, 2023. "Differential Sensitivity in Discontinuous Models," Papers 2310.06151, arXiv.org.
    243. Karl F. Bann�r & Matthias Scherer, 2014. "On the calibration of distortion risk measures to bid-ask prices," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1217-1228, July.
    244. Bernardi Mauro & Roy Cerqueti & Arsen Palestini, 2016. "Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall," Papers 1608.02365, arXiv.org.
    245. Walter Farkas & Ludovic Mathys & Nikola Vasiljević, 2021. "Intra‐Horizon expected shortfall and risk structure in models with jumps," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 772-823, April.
    246. Ignacio Cascos & Ilya Molchanov, 2007. "Multivariate risks and depth-trimmed regions," Finance and Stochastics, Springer, vol. 11(3), pages 373-397, July.
    247. Byers, J.W. & Popova, I. & Simkins, B.J., 2021. "Robust estimation of conditional risk measures using machine learning algorithm for commodity futures prices in the presence of outliers," Journal of Commodity Markets, Elsevier, vol. 24(C).
    248. Ardakani, Omid M., 2023. "Coherent measure of portfolio risk," Finance Research Letters, Elsevier, vol. 57(C).
    249. Paul Embrechts & Bin Wang & Ruodu Wang, 2015. "Aggregation-robustness and model uncertainty of regulatory risk measures," Finance and Stochastics, Springer, vol. 19(4), pages 763-790, October.
    250. Iosif Pinelis, 2013. "An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality," Papers 1310.6025, arXiv.org.
    251. Sordo, Miguel A., 2016. "A multivariate extension of the increasing convex order to compare risks," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 224-230.
    252. Sainan Zhang & Huifu Xu, 2022. "Insurance premium-based shortfall risk measure induced by cumulative prospect theory," Computational Management Science, Springer, vol. 19(4), pages 703-738, October.
    253. Stéphane Girard & Gilles Stupfler & Antoine Usseglio‐Carleve, 2022. "Nonparametric extreme conditional expectile estimation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 78-115, March.
    254. Christian Gourieroux & Wei Liu, 2006. "Sensitivity Analysis of Distortion Risk Measures," Working Papers 2006-33, Center for Research in Economics and Statistics.
    255. Wesselhöfft, Niels & Härdle, Wolfgang Karl, 2019. "Estimating low sampling frequency risk measure by high-frequency data," IRTG 1792 Discussion Papers 2019-003, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    256. Daniel Bauer & George Zanjani, 2016. "The Marginal Cost of Risk, Risk Measures, and Capital Allocation," Management Science, INFORMS, vol. 62(5), pages 1431-1457, May.
    257. Sebastian Fuchs & Ruben Schlotter & Klaus D. Schmidt, 2017. "A Review and Some Complements on Quantile Risk Measures and Their Domain," Risks, MDPI, vol. 5(4), pages 1-16, November.
    258. Boonen, Tim J., 2017. "Risk Redistribution Games With Dual Utilities," ASTIN Bulletin, Cambridge University Press, vol. 47(1), pages 303-329, January.
    259. Postek, K.S. & den Hertog, D. & Melenberg, B., 2015. "Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures (revision of CentER DP 2014-031)," Other publications TiSEM eeb9c898-6943-4199-b747-3, Tilburg University, School of Economics and Management.
    260. Zhuang, Sheng Chao & Weng, Chengguo & Tan, Ken Seng & Assa, Hirbod, 2016. "Marginal Indemnification Function formulation for optimal reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 65-76.
    261. Hasanjan Sayit, 2022. "A discussion of stochastic dominance and mean-risk optimal portfolio problems based on mean-variance-mixture models," Papers 2202.02488, arXiv.org, revised Jul 2023.
    262. Y. Malevergne & D. Sornette, 2002. "Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets," Papers cond-mat/0207475, arXiv.org.
    263. Ruodu Wang & Yunran Wei, 2020. "Risk functionals with convex level sets," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1337-1367, October.
    264. Ruodu Wang & Johanna F. Ziegel, 2014. "Distortion Risk Measures and Elicitability," Papers 1405.3769, arXiv.org, revised May 2014.
    265. Giannopoulos, Kostas & Tunaru, Radu, 2005. "Coherent risk measures under filtered historical simulation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 979-996, April.
    266. Ruodu Wang & Zuo Quan Xu & Xun Yu Zhou, 2019. "Dual utilities on risk aggregation under dependence uncertainty," Finance and Stochastics, Springer, vol. 23(4), pages 1025-1048, October.
    267. Qian Xiong & Zuoxiang Peng & Saralees Nadarajah, 2023. "Optimal Reinsurance under the Linear Combination of Risk Measures in the Presence of Reinsurance Loss Limit," Risks, MDPI, vol. 11(7), pages 1-26, July.
    268. Hirbod Assa, 2015. "Optimal risk allocation in a market with non-convex preferences," Papers 1503.04460, arXiv.org.
    269. Ruodu Wang, 2016. "Regulatory arbitrage of risk measures," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 337-347, March.
    270. Rockafellar, R. Tyrrell & Uryasev, Stan & Zabarankin, Michael, 2006. "Master funds in portfolio analysis with general deviation measures," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 743-778, February.
    271. Renata Mansini & Włodzimierz Ogryczak & M. Speranza, 2007. "Conditional value at risk and related linear programming models for portfolio optimization," Annals of Operations Research, Springer, vol. 152(1), pages 227-256, July.
    272. Marios Nerouppos & David Saunders & Costas Xiouros & Stavros A. Zenios, 2006. "Risk Management in Emerging Markets: Practical Methodologies and Empirical Tests," Multinational Finance Journal, Multinational Finance Journal, vol. 10(3-4), pages 179-221, September.
    273. Inui, Koji & Kijima, Masaaki, 2005. "On the significance of expected shortfall as a coherent risk measure," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 853-864, April.
    274. Rama Cont & Romain Deguest & Xuedong He, 2011. "Loss-Based Risk Measures," Papers 1110.1436, arXiv.org, revised Apr 2013.
    275. Soňa Kilianová & Georg Pflug, 2009. "Optimal pension fund management under multi-period risk minimization," Annals of Operations Research, Springer, vol. 166(1), pages 261-270, February.
    276. Brandtner, Mario & Kürsten, Wolfgang & Rischau, Robert, 2018. "Entropic risk measures and their comparative statics in portfolio selection: Coherence vs. convexity," European Journal of Operational Research, Elsevier, vol. 264(2), pages 707-716.
    277. Carole Bernard & Silvana M. Pesenti & Steven Vanduffel, 2022. "Robust Distortion Risk Measures," Papers 2205.08850, arXiv.org, revised Mar 2023.
    278. Cossette, Hélène & Landriault, David & Marceau, Etienne & Moutanabbir, Khouzeima, 2012. "Analysis of the discounted sum of ascending ladder heights," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 393-401.
    279. Deepak Jadhav & T.V. Ramanathan & U.V. Naik-Nimbalkar, 2009. "Modified Estimators of the Expected Shortfall," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 87-107, May.
    280. Melnikov, Alexander & Smirnov, Ivan, 2012. "Dynamic hedging of conditional value-at-risk," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 182-190.
    281. Soren Bettels & Sojung Kim & Stefan Weber, 2022. "Multinomial Backtesting of Distortion Risk Measures," Papers 2201.06319, arXiv.org, revised Jan 2024.
    282. Brandtner, Mario & Kürsten, Wolfgang, 2015. "Decision making with Expected Shortfall and spectral risk measures: The problem of comparative risk aversion," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 268-280.
    283. R. Tyrrell Rockafellar & Johannes O. Royset, 2018. "Superquantile/CVaR risk measures: second-order theory," Annals of Operations Research, Springer, vol. 262(1), pages 3-28, March.
    284. Rubio-Herrero, Javier & Baykal-Gürsoy, Melike, 2018. "On the unimodality of the price-setting newsvendor problem with additive demand under risk considerations," European Journal of Operational Research, Elsevier, vol. 265(3), pages 962-974.
    285. Brandtner, Mario & Kürsten, Wolfgang, 2014. "Decision making with Conditional Value-at-Risk and spectral risk measures: The problem of comparative risk aversion," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100615, Verein für Socialpolitik / German Economic Association.
    286. Holly Brannelly & Andrea Macrina & Gareth W. Peters, 2021. "Stochastic measure distortions induced by quantile processes for risk quantification and valuation," Papers 2201.02045, arXiv.org.
    287. Dentcheva, Darinka & Penev, Spiridon, 2010. "Shape-restricted inference for Lorenz curves using duality theory," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 403-412, March.
    288. 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).
    289. Greg Brunner & Richard Hinz & Roberto Rocha, 2008. "Risk-based Supervision of Pension Funds : Emerging Practices and Challenges," World Bank Publications - Books, The World Bank Group, number 6419, December.
    290. Samuel Solgon Santos & Marlon Ruoso Moresco & Marcelo Brutti Righi & Eduardo de Oliveira Horta, 2023. "A note on the induction of comonotonic additive risk measures from acceptance sets," Papers 2307.04647, arXiv.org, revised Jul 2023.
    291. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2018. "Tail expectile process and risk assessment," TSE Working Papers 18-944, Toulouse School of Economics (TSE).
    292. Daniel Lima Miquelluti & Vitor Augusto Ozaki & David José Miquelluti, 2022. "An Application of Geographically Weighted Quantile Lasso to Weather Index Insurance Design," RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração, vol. 26(3), pages 200387-2003.
    293. Sally G. Arcidiacono & Damiano Rossello, 2022. "A hybrid approach to the discrepancy in financial performance’s robustness," Operational Research, Springer, vol. 22(5), pages 5441-5476, November.
    294. Marcelo Brutti Righi, 2018. "A theory for combinations of risk measures," Papers 1807.01977, arXiv.org, revised May 2023.
    295. Adam Krzemienowski, 2009. "Risk preference modeling with conditional average: an application to portfolio optimization," Annals of Operations Research, Springer, vol. 165(1), pages 67-95, January.
    296. Wang, Fan & Zhang, Chao & Zhang, Hui & Xu, Liang, 2021. "Short-term physician rescheduling model with feature-driven demand for mental disorders outpatients," Omega, Elsevier, vol. 105(C).
    297. Paul Embrechts & Tiantian Mao & Qiuqi Wang & Ruodu Wang, 2021. "Bayes risk, elicitability, and the Expected Shortfall," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1190-1217, October.
    298. Brandtner, Mario, 2018. "Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 138-149.
    299. Zhiping Chen & Qianhui Hu, 2018. "On Coherent Risk Measures Induced by Convex Risk Measures," Methodology and Computing in Applied Probability, Springer, vol. 20(2), pages 673-698, June.
    300. Cascos, Ignacio & Molchanov, Ilya, 2013. "Choosing a random distribution with prescribed risks," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 599-605.
    301. Kostas Andriosopoulos & Nikos Nomikos, 2012. "Risk management in the energy markets and Value-at-Risk modelling: a Hybrid approach," RSCAS Working Papers 2012/47, European University Institute.
    302. Zhiping Chen & Qianhui Hu & Ruiyue Lin, 2016. "Performance ratio-based coherent risk measure and its application," Quantitative Finance, Taylor & Francis Journals, vol. 16(5), pages 681-693, May.
    303. Tianyu Hao, 2012. "Optimal portfolio model based on WVAR," Papers 1211.5628, arXiv.org.

  4. Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July.
    See citations under working paper version above.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.