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Citations for "On the coherence of expected shortfall"

by Acerbi, Carlo & Tasche, Dirk

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  1. Bertrand K. Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01020293, HAL.
  2. 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.
  3. 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.
  4. Winter, Peter, 2007. "Managerial Risk Accounting and Control – A German perspective," MPRA Paper 8185, University Library of Munich, Germany.
  5. 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.
  6. 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.
  7. AMARANTE, Massimiliano, 2013. "A Representation of Risk Measures," Cahiers de recherche 2013-08, Universite de Montreal, Departement de sciences economiques.
  8. 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.
  9. 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, 04.
  10. repec:hal:journl:hal-00880258 is not listed on IDEAS
  11. Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007. "Tradable measure of risk," MPRA Paper 5059, University Library of Munich, Germany.
  12. 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.
  13. 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.
  14. Leitner Johannes, 2006. "Monetary utility over coherent risk ratios," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-15, July.
  15. Csóka Péter & Herings P. Jean-Jacques & Kóczy László Á., 2007. "Balancedness Conditions for Exact Games," Research Memorandum 039, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  16. 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.
  17. repec:wsi:ijtafx:v:19:y:2016:i:04:p:1650027-01-1650027-28 is not listed on IDEAS
  18. 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, Economics Department, Indiana University Bloomington.
  19. repec:hal:journl:halshs-00969242 is not listed on IDEAS
  20. 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.
  21. 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.
  22. Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
  23. 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.
  24. 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.
  25. Francq, Christian & Zakoian, Jean-Michel, 2012. "Risk-parameter estimation in volatility models," MPRA Paper 41713, University Library of Munich, Germany.
  26. Fabio Caccioli & Imre Kondor & Gábor Papp, 2015. "Portfolio optimization under expected shortfall: contour maps of estimation error," LSE Research Online Documents on Economics 65096, London School of Economics and Political Science, LSE Library.
  27. 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.
  28. 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.
  29. 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.
  30. Hajo Holzmann & Matthias Eulert, 2014. "The role of the information set for forecasting - with applications to risk management," Papers 1404.7653, arXiv.org.
  31. 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.
  32. 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.
  33. 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.
  34. 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.
  35. 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.
  36. Ola Mahmoud, 2015. "The Temporal Dimension of Risk," Papers 1501.01573, arXiv.org, revised Jun 2016.
  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. 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.
  39. Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2003. "Testing Expected Shortfall Models for Derivative Positions," Discussion Paper 2003-24, Tilburg University, Center for Economic Research.
  40. 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.
  41. Csoka, Peter & Herings, P. Jean-Jacques & Koczy, Laszlo A., 2007. "Coherent measures of risk from a general equilibrium perspective," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2517-2534, August.
  42. 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.
  43. 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.
  44. Tasche, Dirk, 2002. "Expected shortfall and beyond," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1519-1533, July.
  45. Volker Kr\"atschmer & Alexander Schied & Henryk Z\"ahle, 2012. "Comparative and qualitative robustness for law-invariant risk measures," Papers 1204.2458, arXiv.org, revised Jan 2014.
  46. 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.
  47. Albrecht, Peter, 2003. "Risk measures," Papers 03-01, Sonderforschungsbreich 504.
  48. Landsman, Zinoviy, 2010. "On the Tail Mean-Variance optimal portfolio selection," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 547-553, June.
  49. 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.
  50. Bernardi, Mauro, 2013. "Risk measures for skew normal mixtures," Statistics & Probability Letters, Elsevier, vol. 83(8), pages 1819-1824.
  51. Michael B. Gordy & Sandeep Juneja, 2010. "Nested Simulation in Portfolio Risk Measurement," Management Science, INFORMS, vol. 56(10), pages 1833-1848, October.
  52. 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.
  53. 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.
  54. repec:hal:journl:hal-00921283 is not listed on IDEAS
  55. 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.
  56. repec:spr:compst:v:69:y:2009:i:3:p:395-410 is not listed on IDEAS
  57. Lisa R. Goldberg & Ola Mahmoud, 2014. "Drawdown: From Practice to Theory and Back Again," Papers 1404.7493, arXiv.org, revised Sep 2016.
  58. 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.
  59. Bauwens Luc & Storti Giuseppe, 2009. "A Component GARCH Model with Time Varying Weights," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-33, May.
  60. 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.
  61. 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.
  62. Giannopoulos, Kostas & Tunaru, Radu, 2005. "Coherent risk measures under filtered historical simulation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 979-996, April.
  63. Marcella Lucchetta & Gianni De Nicolo, 2012. "Systemic Real and Financial Risks; Measurement, Forecasting, and Stress Testing," IMF Working Papers 12/58, International Monetary Fund.
  64. Jean-David Fermanian & Olivier Scaillet, 2003. "Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements," Working Papers 2003-33, Centre de Recherche en Economie et Statistique.
  65. 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.
  66. Melnikov, Alexander & Smirnov, Ivan, 2012. "Dynamic hedging of conditional value-at-risk," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 182-190.
  67. Brandtner, Mario & Kürsten, Wolfgang, 2014. "Decision making with Conditional Value-at-Risk and spectral risk measures: The problem of comparative risk aversion," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100615, Verein für Socialpolitik / German Economic Association.
  68. Arthur Charpentier & Abder Oulidi, 2009. "Estimating allocations for Value-at-Risk portfolio optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 395-410, July.
  69. 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.
  70. Imre Kondor, 2014. "Estimation Error of Expected Shortfall," Papers 1402.5534, arXiv.org.
  71. 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.
  72. 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.
  73. Szego, Giorgio, 2002. "Measures of risk," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1253-1272, July.
  74. 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.
  75. Jakob Kisiala, 2015. "Conditional Value-at-Risk: Theory and Applications," Papers 1511.00140, arXiv.org.
  76. Acerbi Carlo & Simonetti Prospero, 2002. "Portfolio Optimization with Spectral Measures of Risk," Papers cond-mat/0203607, arXiv.org.
  77. Peter Csoka & Miklos Pinter, 2011. "On the Impossibility of Fair Risk Allocation," IEHAS Discussion Papers 1117, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences.
  78. Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 10(1), pages 1-14, February.
  79. 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 Institute for Advanced Studies Lucca, revised Sep 2014.
  80. Mingxin Xu, 2006. "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, vol. 2(1), pages 51-71, January.
  81. 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.
  82. Imre Kondor & Andras Szepessy & Tunde Ujvarosi, 2003. "Concave risk measures in international capital regulation," Papers cond-mat/0307244, arXiv.org.
  83. Szego, Giorgio, 2005. "Measures of risk," European Journal of Operational Research, Elsevier, vol. 163(1), pages 5-19, May.
  84. 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 Institute for Advanced Studies Lucca, revised Mar 2014.
  85. Kratz , Marie, 2013. "There is a VaR Beyond Usual Approximations," ESSEC Working Papers WP1317, ESSEC Research Center, ESSEC Business School.
  86. 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.
  87. 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.
  88. 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.
  89. Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 21, October.
  90. 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.
  91. Brian Tomlin & Yimin Wang, 2005. "On the Value of Mix Flexibility and Dual Sourcing in Unreliable Newsvendor Networks," Manufacturing & Service Operations Management, INFORMS, vol. 7(1), pages 37-57, June.
  92. 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.
  93. Puzanova, Natalia & Düllmann, Klaus, 2013. "Systemic risk contributions: A credit portfolio approach," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1243-1257.
  94. Zaiwen Wen & Xianhua Peng & Xin Liu & Xiaoling Sun & Xiaodi Bai, 2013. "Asset Allocation under the Basel Accord Risk Measures," Papers 1308.1321, arXiv.org.
  95. 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.
  96. 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.
  97. Raupach, Peter, 2015. "Calculating trading book capital: Is risk separation appropriate?," Discussion Papers 19/2015, Deutsche Bundesbank, Research Centre.
  98. 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.
  99. repec:spr:compst:v:74:y:2011:i:3:p:361-379 is not listed on IDEAS
  100. 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.
  101. 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.
  102. 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.
  103. 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.
  104. 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.
  105. 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.
  106. 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".
  107. 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.
  108. A. Cherny, 2006. "Weighted V@R and its Properties," Finance and Stochastics, Springer, vol. 10(3), pages 367-393, September.
  109. 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.
  110. 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.
  111. 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.
  112. Péter Csóka & P. Jean-Jacques Herings & László Á. Kóczy, 2007. "Stable Allocations of Risk," Working Paper Series 0802, Óbuda University, Keleti Faculty of Business and Management, revised Apr 2008.
  113. 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.
  114. Kerkhof, Jeroen & Melenberg, Bertrand, 2004. "Backtesting for risk-based regulatory capital," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1845-1865, August.
  115. van Gulick, G. & De Waegenaere, A.M.B. & Norde, H.W., 2010. "Excess Based Allocation of Risk Capital," Discussion Paper 2010-123, Tilburg University, Center for Economic Research.
  116. 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.
  117. 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.
  118. 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).
  119. 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.
  120. Fulga, Cristinca, 2016. "Portfolio optimization under loss aversion," European Journal of Operational Research, Elsevier, vol. 251(1), pages 310-322.
  121. 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).
  122. repec:hal:journl:halshs-01163837 is not listed on IDEAS
  123. Zongwu Cai & Xian Wang, 2013. "Nonparametric Methods for Estimating Conditional VaR and Expected Shortfall," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  124. Ivan Granito & Paolo De Angelis, 2015. "Capital allocation and risk appetite under Solvency II framework," Papers 1511.02934, arXiv.org.
  125. Kondor, Imre & Pafka, Szilard & Nagy, Gabor, 2007. "Noise sensitivity of portfolio selection under various risk measures," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1545-1573, May.
  126. Tianyu Hao, 2012. "Optimal portfolio model based on WVAR," Papers 1211.5628, arXiv.org.
  127. 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.
  128. 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.
  129. Franco Peracchi & Andrei V. Tanase, 2008. "On estimating the conditional expected shortfall," CEIS Research Paper 122, Tor Vergata University, CEIS, revised 14 Jul 2008.
  130. 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.
  131. 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.
  132. Fermanian, Jean-David, 2014. "The limits of granularity adjustments," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 9-25.
  133. 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.
  134. 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.
  135. 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.
  136. Maciej J. Capi\'nski, 2014. "Hedging Conditional Value at Risk with Options," Papers 1408.6673, arXiv.org, revised Apr 2015.
  137. 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.
  138. repec:wyi:journl:002095 is not listed on IDEAS
  139. 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.
  140. 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.
  141. 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.
  142. Jean-David Fermanian, 2013. "The Limits of Granularity Adjustments," Working Papers 2013-27, Centre de Recherche en Economie et Statistique.
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This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.