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Measures of risk

  • Szego, Giorgio
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-45TTSR9-6/2/1d4519d4ba74d4748d646dd6c7a66ac1
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 26 (2002)
    Issue (Month): 7 (July)
    Pages: 1253-1272

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    Handle: RePEc:eee:jbfina:v:26:y:2002:i:7:p:1253-1272
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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    1. Landsman, Zinoviy & Sherris, Michael, 2001. "Risk measures and insurance premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 103-115, August.
    2. Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H., 1997. "Axiomatic characterization of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 173-183, November.
    3. Carr, Peter & Geman, Helyette & Madan, Dilip B., 2001. "Pricing and hedging in incomplete markets," Journal of Financial Economics, Elsevier, vol. 62(1), pages 131-167, October.
    4. Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July.
    5. 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.
    6. Jones, David, 2000. "Emerging problems with the Basel Capital Accord: Regulatory capital arbitrage and related issues," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 35-58, January.
    7. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 0075, European Central Bank.
    8. Michael Phelan, 1997. "Probability and Statistics Applied to the Practice of Financial Risk Management: The Case of J.P. Morgan's RiskMetrics™," Journal of Financial Services Research, Springer, vol. 12(2), pages 175-200, October.
    9. Cambanis, Stamatis & Huang, Steel & Simons, Gordon, 1981. "On the theory of elliptically contoured distributions," Journal of Multivariate Analysis, Elsevier, vol. 11(3), pages 368-385, September.
    10. Michael B. Gordy, 1998. "A comparative anatomy of credit risk models," Finance and Economics Discussion Series 1998-47, Board of Governors of the Federal Reserve System (U.S.).
    11. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    12. Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1473-1486, July.
    13. P. Silvapulle & C. W. J. Granger, 2001. "Large returns, conditional correlation and portfolio diversification: a value-at-risk approach," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 542-551.
    14. A. Sancetta & Satchell, S.E., 2001. "Bernstein Approximations to the Copula Function and Portfolio Optimization," Cambridge Working Papers in Economics 0105, Faculty of Economics, University of Cambridge.
    15. Joe, Harry & Hu, Taizhong, 1996. "Multivariate Distributions from Mixtures of Max-Infinitely Divisible Distributions," Journal of Multivariate Analysis, Elsevier, vol. 57(2), pages 240-265, May.
    16. Bouye, Eric & Durlleman, Valdo & Nikeghbali, Ashkan & Riboulet, Gaël & Roncalli, Thierry, 2000. "Copulas for finance," MPRA Paper 37359, University Library of Munich, Germany.
    17. Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
    18. Danielsson, Jon & Jorgensen, Bjorn N. & de Vries, Casper G., 2002. "Incentives for effective risk management," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1407-1425, July.
    19. Con Keating & Hyun Song Shin & Charles Goodhart & Jon Danielsson, 2001. "An Academic Response to Basel II," FMG Special Papers sp130, Financial Markets Group.
    20. Geman, Helyette, 2002. "Pure jump Levy processes for asset price modelling," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1297-1316, July.
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