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Citations for "On the coherence of expected shortfall"

by Acerbi, Carlo & Tasche, Dirk

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  1. 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.
  2. Kerkhof, Jeroen & Melenberg, Bertrand & Schumacher, Hans, 2010. "Model risk and capital reserves," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 267-279, January.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Francq, Christian & Zakoïan, Jean-Michel, 2015. "Risk-parameter estimation in volatility models," Journal of Econometrics, Elsevier, vol. 184(1), pages 158-173.
  8. BAUWENS, Luc & STORTI, Giuseppe, 2007. "A component GARCH model with time varying weights," CORE Discussion Papers 2007019, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  9. Zongwu Cai & Xian Wang, 2013. "Nonparametric Methods for Estimating Conditional VaR and Expected Shortfall," Papers 2013-10-14, Working Paper.
  10. Chun, So Yeon & Shapiro, Alexander & Uryasev, Stan, 2011. "Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics," MPRA Paper 30132, University Library of Munich, Germany.
  11. 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.
  12. Alessandro Ramponi, 2014. "On a Transform Method for the Efficient Computation of Conditional VaR (and VaR) with Application to Loss Models with Jumps and Stochastic Volatility," Papers 1407.1072, arXiv.org.
  13. 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.
  14. 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.
  15. Bernardi, Mauro, 2012. "Risk measures for Skew Normal mixtures," MPRA Paper 39828, University Library of Munich, Germany.
  16. Dominique Guegan & Bertrand Hassani, 2014. "Stress Testing Engineering: the real risk measurement?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00951593, HAL.
  17. repec:dgr:kubcen:2002110 is not listed on IDEAS
  18. Taguedong, Sylvain Chamberlain, 2009. "Behavioral approach to market and default risks modeling," MPRA Paper 20641, University Library of Munich, Germany.
  19. 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.
  20. Péter Csóka & Jean-Jacques Herings & László Kóczy, 2006. "Coherent Measures of Risk from a General Equilibrium Perspective," IEHAS Discussion Papers 0611, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences, revised 30 Aug 2006.
  21. 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.
  22. Düllmann, Klaus & Puzanova, Natalia, 2011. "Systemic risk contributions: a credit portfolio approach," Discussion Paper Series 2: Banking and Financial Studies 2011,08, Deutsche Bundesbank, Research Centre.
  23. Imen Bentahar, 2006. "Tail Conditional Expectation for vector-valued Risks," SFB 649 Discussion Papers SFB649DP2006-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  24. repec:hal:journl:halshs-00196443 is not listed on IDEAS
  25. 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.
  26. repec:spr:compst:v:74:y:2011:i:3:p:361-379 is not listed on IDEAS
  27. 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, Research Centre.
  28. 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.
  29. Dirk Tasche, 2005. "Measuring sectoral diversification in an asymptotic multi-factor framework," Papers physics/0505142, arXiv.org, revised Jul 2006.
  30. Giannopoulos, Kostas & Tunaru, Radu, 2005. "Coherent risk measures under filtered historical simulation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 979-996, April.
  31. 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.
  32. Csóka Péter & Herings P. Jean-Jacques & Kóczy László Á, 2007. "Stable Allocations of Risk," Research Memorandum 040, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  33. 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.
  34. Bertrand K. Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01020293, HAL.
  35. Winter, Peter, 2007. "Managerial Risk Accounting and Control – A German perspective," MPRA Paper 8185, University Library of Munich, Germany.
  36. 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.
  37. 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.
  38. 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.
  39. 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.
  40. Belles-Sampera, Jaume & Merigó, José M. & Guillén, Montserrat & Santolino, Miguel, 2013. "The connection between distortion risk measures and ordered weighted averaging operators," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 411-420.
  41. Ola Mahmoud, 2015. "The Two Dimensions of Drawdown: Magnitude and Duration," Papers 1501.01573, arXiv.org.
  42. Richard J Martin, 2011. "Saddlepoint methods in portfolio theory," Papers 1201.0106, arXiv.org.
  43. A. Cherny, 2006. "Weighted V@R and its Properties," Finance and Stochastics, Springer, vol. 10(3), pages 367-393, September.
  44. 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.
  45. repec:dgr:kubcen:2012091 is not listed on IDEAS
  46. 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.
  47. 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.
  48. Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," Working Papers 2014-131, Department of Research, Ipag Business School.
  49. Carlo Acerbi & Dirk Tasche, 2001. "Expected Shortfall: a natural coherent alternative to Value at Risk," Papers cond-mat/0105191, arXiv.org.
  50. 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.
  51. 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.
  52. Zaiwen Wen & Xianhua Peng & Xin Liu & Xiaoling Sun & Xiaodi Bai, 2013. "Asset Allocation under the Basel Accord Risk Measures," Papers 1308.1321, arXiv.org.
  53. 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.
  54. Hermann Haaf & Dirk Tasche, 2001. "Calculating Value-at-Risk contributions in CreditRisk+," Papers cond-mat/0112045, arXiv.org, revised Mar 2002.
  55. Fantazzini, Dean, 2008. "An Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 10(2), pages 91-137.
  56. 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.
  57. 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).
  58. 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.
  59. Samantha Leorato & Franco Peracchi & Andrei V. Tanase, 2010. "Asymptotically Efficient Estimation of the Conditional Expected Shortfall," EIEF Working Papers Series 1013, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2010.
  60. 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.
  61. 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.
  62. 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, vol. 6(4), pages 290-304, September.
  63. 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.
  64. Fermanian, Jean-David, 2014. "The limits of granularity adjustments," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 9-25.
  65. 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.
  66. 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.
  67. Jing Li & Mingxin Xu, 2013. "Optimal Dynamic Portfolio with Mean-CVaR Criterion," Papers 1308.2324, arXiv.org.
  68. 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.
  69. 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.
  70. 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.
  71. repec:spr:compst:v:69:y:2009:i:3:p:475-495 is not listed on IDEAS
  72. 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.
  73. 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.
  74. 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.
  75. Mingxin Xu, 2006. "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, vol. 2(1), pages 51-71, January.
  76. Melnikov, Alexander & Smirnov, Ivan, 2012. "Dynamic hedging of conditional value-at-risk," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 182-190.
  77. 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.
  78. 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.).
  79. M. Kaina & L. Rüschendorf, 2009. "On convex risk measures on L p -spaces," Mathematical Methods of Operations Research, Springer, vol. 69(3), pages 475-495, July.
  80. 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.
  81. Cai, Zongwu & Wang, Xian, 2008. "Nonparametric estimation of conditional VaR and expected shortfall," Journal of Econometrics, Elsevier, vol. 147(1), pages 120-130, November.
  82. repec:wyi:journl:002095 is not listed on IDEAS
  83. Landsman, Zinoviy, 2010. "On the Tail Mean-Variance optimal portfolio selection," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 547-553, June.
  84. Alexandre Kurth & Dirk Tasche, 2002. "Credit Risk Contributions to Value-at-Risk and Expected Shortfall," Papers cond-mat/0207750, arXiv.org, revised Nov 2002.
  85. 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.
  86. Tasche, Dirk, 2002. "Expected shortfall and beyond," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1519-1533, July.
  87. 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.
  88. Acerbi Carlo & Simonetti Prospero, 2002. "Portfolio Optimization with Spectral Measures of Risk," Papers cond-mat/0203607, arXiv.org.
  89. 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.
  90. Szego, Giorgio, 2005. "Measures of risk," European Journal of Operational Research, Elsevier, vol. 163(1), pages 5-19, May.
  91. 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.
  92. 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.
  93. 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.
  94. 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.
  95. 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.
  96. 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.
  97. 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.
  98. Darinka Dentcheva & Andrzej Ruszczynski, 2005. "Inverse stochastic dominance constraints and rank dependent expected utility theory," GE, Growth, Math methods 0503001, EconWPA.
  99. 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.
  100. Björn Häckel, 2010. "Risikoadjustierte Wertbeiträge zur ex ante Entscheidungsunterstützung: Ein axiomatischer Ansatz," Metrika, Springer, vol. 21(1), pages 81-108, June.
  101. Dominique Guegan & Bertrand K Hassani, 2014. "Stress Testing Engineering: the real risk measurement?," Documents de travail du Centre d'Economie de la Sorbonne 14006, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  102. 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.
  103. 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.
  104. Lisa R. Goldberg & Ola Mahmoud, 2014. "On a Convex Measure of Drawdown Risk," Papers 1404.7493, arXiv.org, revised Jul 2014.
  105. Carlo Acerbi, 2001. "Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem," Papers cond-mat/0107190, arXiv.org.
  106. Jon Danielsson & Jean-Pierre Zigrand & Bjørn N. Jorgensen & Mandira Sarma & C. G. de Vries, 2006. "Consistent measures of risk," LSE Research Online Documents on Economics 24517, London School of Economics and Political Science, LSE Library.
  107. 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.
  108. Mbairadjim Moussa, A. & Sadefo Kamdem, J. & Terraza, M., 2014. "Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns," Economic Modelling, Elsevier, vol. 39(C), pages 247-256.
  109. 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).
  110. Maciej J. Capi\'nski, 2014. "Hedging Conditional Value at Risk with Options," Papers 1408.6673, arXiv.org, revised Apr 2015.
  111. Franco Peracchi & Andrei V. Tanase, 2008. "On estimating the conditional expected shortfall," CEIS Research Paper 122, Tor Vergata University, CEIS, revised 14 Jul 2008.
  112. 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.
  113. 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.
  114. 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.
  115. 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.
  116. 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.
  117. 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.
  118. Budhi Surya & Ryan Kurniawan, 2014. "Optimal Portfolio Selection Based on Expected Shortfall Under Generalized Hyperbolic Distribution," Asia-Pacific Financial Markets, Springer, vol. 21(3), pages 193-236, September.
  119. 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.
  120. Puzanova, Natalia & Düllmann, Klaus, 2013. "Systemic risk contributions: A credit portfolio approach," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1243-1257.
  121. Bellini, Tiziano, 2013. "Integrated bank risk modeling: A bottom-up statistical framework," European Journal of Operational Research, Elsevier, vol. 230(2), pages 385-398.
  122. Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007. "Tradable measure of risk," MPRA Paper 5059, University Library of Munich, Germany.
  123. 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.
  124. repec:dgr:kubcen:2010123 is not listed on IDEAS
  125. Marie Kratz, 2013. "There is a VaR beyond usual approximations," Papers 1311.0270, arXiv.org.
  126. Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2013. "“The use of flexible quantile-based measures in risk assessment”," IREA Working Papers 201323, University of Barcelona, Research Institute of Applied Economics, revised Dec 2013.
  127. Mathieu Bargès & Hélène Cossette & Etienne Marceau, 2009. "TVaR-based capital allocation with copulas," Working Papers hal-00431265, HAL.
  128. Paul Embrechts & Giovanni Puccetti & Ludger Rüschendorf & Ruodu Wang & Antonela Beleraj, 2014. "An Academic Response to Basel 3.5," Risks, MDPI, Open Access Journal, vol. 2(1), pages 25-48, February.
  129. Serge Darolles & Christian Gouriéroux & Emmanuelle Jay, 2012. "Robust Portfolio Allocation with Systematic Risk Contribution Restrictions," Working Papers 2012-35, Centre de Recherche en Economie et Statistique.
  130. Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Scholarly Articles 2624460, Harvard University Department of Economics.
  131. 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.
  132. 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.
  133. Nicole Bäuerle & Jonathan Ott, 2011. "Markov Decision Processes with Average-Value-at-Risk criteria," Mathematical Methods of Operations Research, Springer, vol. 74(3), pages 361-379, December.
  134. 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 Nov 2014.
  135. 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.
  136. Capiński, Maciej J., 2015. "Hedging Conditional Value at Risk with options," European Journal of Operational Research, Elsevier, vol. 242(2), pages 688-691.
  137. repec:spr:compst:v:69:y:2009:i:3:p:395-410 is not listed on IDEAS
  138. Arthur Charpentier & Abder Oulidi, 2009. "Estimating allocations for Value-at-Risk portfolio optimization," Mathematical Methods of Operations Research, Springer, vol. 69(3), pages 395-410, July.
  139. Jean-David Fermanian, 2013. "The Limits of Granularity Adjustments," Working Papers 2013-27, Centre de Recherche en Economie et Statistique.
  140. 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.
  141. Imre Kondor, 2014. "Estimation Error of Expected Shortfall," Papers 1402.5534, arXiv.org.
  142. Kerkhof, Jeroen & Melenberg, Bertrand, 2004. "Backtesting for risk-based regulatory capital," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1845-1865, August.
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