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Citations for "Expected shortfall and beyond"

by Tasche, Dirk

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  1. Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2002-55, Board of Governors of the Federal Reserve System (U.S.).
  2. 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 Dec 2013.
  3. Rua, António & Nunes, Luis C., 2012. "A wavelet-based assessment of market risk: The emerging markets case," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 52(1), pages 84-92.
  4. Suzanne Emmer & Marie Kratz & Dirk Tasche, 2013. "What Is the Best Risk Measure in Practice? A Comparison of Standard Measures," Post-Print hal-00921283, HAL.
  5. Dirk Tasche, 2011. "Bayesian estimation of probabilities of default for low default portfolios," Papers 1112.5550, arXiv.org, revised Aug 2013.
  6. Csóka, Péter & Herings, P. Jean-Jacques & Kóczy, László Á., 2006. "Coherent Measures of Risk from a General Equilibrium Perspective," Research Memorandum 016, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  7. Kerkhof, Jeroen & Melenberg, Bertrand, 2004. "Backtesting for risk-based regulatory capital," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(8), pages 1845-1865, August.
  8. Joaquin, Domingo Castelo, 2009. "Value at risk: Is a theoretically consistent axiomatic formulation possible?," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 49(2), pages 725-729, May.
  9. Melenberg, B. & Polbennikov, S.Y., 2005. "Testing for Mean-Coherent Regular Risk Spanning," Discussion Paper, Tilburg University, Center for Economic Research 2005-99, Tilburg University, Center for Economic Research.
  10. Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Scholarly Articles 2624460, Harvard University Department of Economics.
  11. Buch, Arne & Dorfleitner, Gregor & Wimmer, Maximilian, 2011. "Risk capital allocation for RORAC optimization," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(11), pages 3001-3009, November.
  12. John Cotter & Jim Hanly, 2011. "Re-evaluating Hedging Performance," Working Papers, Geary Institute, University College Dublin 200518, Geary Institute, University College Dublin.
  13. M. Kaina & L. Rüschendorf, 2009. "On convex risk measures on L p -spaces," Computational Statistics, Springer, Springer, vol. 69(3), pages 475-495, July.
  14. Dominique Guegan & Bertrand Hassani, 2014. "Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00969242, HAL.
  15. Polbennikov, S.Y. & Melenberg, B., 2005. "Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection: An Empirical Comparison," Discussion Paper, Tilburg University, Center for Economic Research 2005-100, Tilburg University, Center for Economic Research.
  16. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Feb 2014.
  17. Maria Rosa Nieto & Esther Ruiz, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws087326, Universidad Carlos III, Departamento de Estadística y Econometría.
  18. Rockafellar, R. Tyrrell & Uryasev, Stan & Zabarankin, Michael, 2006. "Master funds in portfolio analysis with general deviation measures," Journal of Banking & Finance, Elsevier, Elsevier, vol. 30(2), pages 743-778, February.
  19. Rosen, Dan & Saunders, David, 2009. "Analytical methods for hedging systematic credit risk with linear factor portfolios," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 33(1), pages 37-52, January.
  20. Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(8), pages 2551-2569, August.
  21. Alexandre Kurth & Dirk Tasche, 2002. "Credit Risk Contributions to Value-at-Risk and Expected Shortfall," Papers cond-mat/0207750, arXiv.org, revised Nov 2002.
  22. Kretzschmar, Gavin & McNeil, Alexander J. & Kirchner, Axel, 2010. "Integrated models of capital adequacy - Why banks are undercapitalised," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(12), pages 2838-2850, December.
  23. Signori, Ombretta & Malongo, Hassan & Fermanian, Jean-David & Brière, Marie, 2012. "Volatility Strategies for Global and Country Specific European Investors," Economics Papers from University Paris Dauphine 123456789/9298, Paris Dauphine University.
  24. Kerkhof, F.L.J., 2003. "Model Risk Analysis for Risk Management and Option Pricing," Open Access publications from Tilburg University urn:nbn:nl:ui:12-119331, Tilburg University.
  25. Johannes Siven & Rolf Poulsen, 2009. "Auto-static for the people: risk-minimizing hedges of barrier options," Review of Derivatives Research, Springer, Springer, vol. 12(3), pages 193-211, October.
  26. Gilbert W. Bassett Jr & Roger Koenker & Gregory Kordas, 2004. "Pessimistic portfolio allocation and Choquet expected utility," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP09/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  27. Wong, Woon K & Copeland, Laurence, 2008. "Risk Measurement and Management in a Crisis-Prone World," Cardiff Economics Working Papers E2008/14, Cardiff University, Cardiff Business School, Economics Section.
  28. Jacques Pézier, 2011. "Rationalization of Investment Preference Criteria," ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University icma-dp2011-12, Henley Business School, Reading University.
  29. Chen, Zhiping & Wang, Yi, 2008. "Two-sided coherent risk measures and their application in realistic portfolio optimization," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(12), pages 2667-2673, December.
  30. Dirk Tasche, 2005. "Measuring sectoral diversification in an asymptotic multi-factor framework," Papers physics/0505142, arXiv.org, revised Jul 2006.
  31. Tan, Ken Seng & Weng, Chengguo & Zhang, Yi, 2011. "Optimality of general reinsurance contracts under CTE risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 175-187, September.
  32. Szego, Giorgio, 2005. "Measures of risk," European Journal of Operational Research, Elsevier, Elsevier, vol. 163(1), pages 5-19, May.
  33. Alex Ferrer & José Casals & Sonia Sotoca, 2014. "A new approach to the unconditional measurement of default risk," Documentos de Trabajo del ICAE 2014-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  34. Eling, Martin & Gatzert, Nadine & Schmeiser, Hato, 2009. "Minimum standards for investment performance: A new perspective on non-life insurer solvency," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 113-122, August.
  35. Adam, Alexandre & Houkari, Mohamed & Laurent, Jean-Paul, 2008. "Spectral risk measures and portfolio selection," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(9), pages 1870-1882, September.
  36. Jacques Pézier, 2007. "Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory," ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University icma-dp2008-05, Henley Business School, Reading University, revised Dec 2008.
  37. 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.
  38. 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.
  39. 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, Tilburg University, Center for Economic Research 2012-091, Tilburg University, Center for Economic Research.
  40. Wächter, Hans Peter & Mazzoni, Thomas, 2013. "Consistent modeling of risk averse behavior with spectral risk measures," European Journal of Operational Research, Elsevier, Elsevier, vol. 229(2), pages 487-495.