My bibliography
Save this item
Expected shortfall and beyond
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- 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.
- John Cotter & Jim Hanly, 2006.
"Reevaluating hedging performance,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(7), pages 677-702, July.
- Cotter, John & Hanly, James, 2005. "Re-evaluating Hedging Performance," MPRA Paper 3523, University Library of Munich, Germany.
- John Cotter & Jim Hanly, 2011. "Re-evaluating Hedging Performance," Working Papers 200518, Geary Institute, University College Dublin.
- Lorenzo Mercuri & Edit Rroji, 2018. "Risk parity for Mixed Tempered Stable distributed sources of risk," Annals of Operations Research, Springer, vol. 260(1), pages 375-393, January.
- Wei Wang & Huifu Xu, 2023. "Preference robust distortion risk measure and its application," Mathematical Finance, Wiley Blackwell, vol. 33(2), pages 389-434, April.
- 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.
- Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
- 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).
- Jacques Pézier, 2011. "Rationalization of Investment Preference Criteria," ICMA Centre Discussion Papers in Finance icma-dp2011-12, Henley Business School, University of Reading.
- 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.
- 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.
- 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.
- Samuel Drapeau & Mekonnen Tadese, 2019. "Dual Representation of Expectile based Expected Shortfall and Its Properties," Papers 1911.03245, arXiv.org.
- Albrecht, Peter, 2003. "Risk measures," Papers 03-01, Sonderforschungsbreich 504.
- 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.
- repec:hal:journl:hal-00921283 is not listed on IDEAS
- Sanford, Anthony, 2022. "Optimized portfolio using a forward-looking expected tail loss," Finance Research Letters, Elsevier, vol. 46(PB).
- Steven Kou & Xianhua Peng & Chris C. Heyde, 2013. "External Risk Measures and Basel Accords," Mathematics of Operations Research, INFORMS, vol. 38(3), pages 393-417, August.
- 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.
- Szego, Giorgio, 2005.
"Measures of risk,"
European Journal of Operational Research, Elsevier, vol. 163(1), pages 5-19, May.
- Szego, Giorgio, 2002. "Measures of risk," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1253-1272, July.
- Bui, Dien Giau & Hasan, Iftekhar & Lin, Chih-Yung & Nguyen, Hong Thoa, 2023. "Short-selling threats and bank risk-taking: Evidence from the financial crisis," Journal of Banking & Finance, Elsevier, vol. 150(C).
- 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.
- Gilbert W. Bassett, 2004.
"Pessimistic Portfolio Allocation and Choquet Expected Utility,"
Journal of Financial Econometrics, Oxford University Press, vol. 2(4), pages 477-492.
- Gilbert W. Bassett Jr Bassett & Roger Koenker & Gregory Kordas, 2004. "Pessimistic portfolio allocation and Choquet expected utility," CeMMAP working papers CWP09/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- 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.
- repec:dau:papers:123456789/9298 is not listed on IDEAS
- 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.
- 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.
- Jim Hanly, 2017. "Managing Energy Price Risk using Futures Contracts: A Comparative Analysis," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
- 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.
- 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.
- 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.
- 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.
- Csóka, P. & Herings, P.J.J. & Kóczy, L.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).
- 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.
- Rosen, Dan & Saunders, David, 2009. "Analytical methods for hedging systematic credit risk with linear factor portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 37-52, January.
- Kim, Daehwan & Iwasawa, Seiichiro, 2017. "Hot money and cross-section of stock returns during the global financial crisis," International Review of Economics & Finance, Elsevier, vol. 50(C), pages 8-22.
- Ivan Granito & Paolo De Angelis, 2015. "Capital allocation and risk appetite under Solvency II framework," Papers 1511.02934, arXiv.org.
- Buch, Arne & Dorfleitner, Gregor & Wimmer, Maximilian, 2011. "Risk capital allocation for RORAC optimization," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3001-3009, November.
- David Saunders & Costas Xiouros & Stavros Zenios, 2007. "Credit risk optimization using factor models," Annals of Operations Research, Springer, vol. 152(1), pages 49-77, July.
- 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.
- Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series 2002-55, Board of Governors of the Federal Reserve System (U.S.).
- Mohd Azdi Maasar & Diana Roman & Paresh Date, 2022. "Risk minimisation using options and risky assets," Operational Research, Springer, vol. 22(1), pages 485-506, March.
- 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.
- 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.
- Ellis, Scott & Sharma, Satish & Brzeszczyński, Janusz, 2022. "Systemic risk measures and regulatory challenges," Journal of Financial Stability, Elsevier, vol. 61(C).
- Wang, Wei & Xu, Huifu & Ma, Tiejun, 2023. "Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation," European Journal of Operational Research, Elsevier, vol. 306(1), pages 322-347.
- 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.
- Avramidis, Panagiotis & Pasiouras, Fotios, 2015. "Calculating systemic risk capital: A factor model approach," Journal of Financial Stability, Elsevier, vol. 16(C), pages 138-150.
- Mario Brandtner, 2016. "Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke," Management Review Quarterly, Springer, vol. 66(2), pages 75-115, April.
- Weiwei Li & Dejian Tian, 2023. "Robust optimized certainty equivalents and quantiles for loss positions with distribution uncertainty," Papers 2304.04396, arXiv.org.
- 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).
- Kratz, Marie & Lok, Yen H. & McNeil, Alexander J., 2018.
"Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall,"
Journal of Banking & Finance, Elsevier, vol. 88(C), pages 393-407.
- 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.
- 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.
- Yuru Sun & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Gael M. Martin, 2023. "Optimal probabilistic forecasts for risk management," Papers 2303.01651, arXiv.org.
- 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.
- Dimitriadis, Timo & Liu, Xiaochun & Schnaitmann, Julie, 2020.
"Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary,"
Hohenheim Discussion Papers in Business, Economics and Social Sciences
11-2020, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
- 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.
- Boonen, Tim J. & De Waegenaere, Anja & Norde, Henk, 2020.
"A generalization of the Aumann–Shapley value for risk capital allocation problems,"
European Journal of Operational Research, Elsevier, vol. 282(1), pages 277-287.
- 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.
- Tasche, Dirk, 2013.
"Bayesian estimation of probabilities of default for low default portfolios,"
Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 6(3), pages 302-326, July.
- Dirk Tasche, 2011. "Bayesian estimation of probabilities of default for low default portfolios," Papers 1112.5550, arXiv.org, revised Aug 2013.
- 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.
- Jamie Fairbrother & Amanda Turner & Stein Wallace, 2015. "Scenario generation for single-period portfolio selection problems with tail risk measures: coping with high dimensions and integer variables," Papers 1511.04935, arXiv.org, revised Apr 2017.
- 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.
- 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.
- Fabio Baione & Paolo Angelis & Ivan Granito, 2021. "Capital allocation and RORAC optimization under solvency 2 standard formula," Annals of Operations Research, Springer, vol. 299(1), pages 747-763, April.
- 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.
- 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.
- Alexander S. Cherny, 2009. "Capital Allocation And Risk Contribution With Discrete‐Time Coherent Risk," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 13-40, January.
- Robert Elliott & Hong Miao, 2009. "VaR and expected shortfall: a non-normal regime switching framework," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 747-755.
- 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.
- Dominique Guegan & Bertrand Hassani, 2014. "Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions," Post-Print halshs-00969242, HAL.
- Albrecht, Peter, 2003. "Risk based capital allocation," Papers 03-02, Sonderforschungsbreich 504.
- 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.
- 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.
- Kretzschmar, Gavin & McNeil, Alexander J. & Kirchner, Axel, 2010. "Integrated models of capital adequacy - Why banks are undercapitalised," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2838-2850, December.
- Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2016. "A quantile-boosting approach to forecasting gold returns," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 38-55.
- J. Christopher Westland, 2015. "Economics of eBay’s buyer protection plan," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 1(1), pages 1-20, December.
- 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.
- Marie Kratz & Yen H Lok & Alexander J Mcneil, 2016. "Multinomial var backtests: A simple implicit approach to backtesting expected shortfall," Working Papers hal-01424279, HAL.
- 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.
- Acerbi Carlo & Simonetti Prospero, 2002. "Portfolio Optimization with Spectral Measures of Risk," Papers cond-mat/0203607, arXiv.org.
- 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.
- Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
- 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.
- 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.
- 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.
- Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
- 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.
- 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, vol. 52(1), pages 84-92.
- António Rua & Luís Catela Nunes, 2012. "A wavelet-based assessment of market risk: The emerging markets case," Working Papers w201203, Banco de Portugal, Economics and Research Department.
- Kerkhof, Jeroen & Melenberg, Bertrand, 2004.
"Backtesting for risk-based regulatory capital,"
Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1845-1865, August.
- Kerkhof, F.L.J. & Melenberg, B., 2002. "Backtesting for Risk-Based Regulatory Capital," Discussion Paper 2002-110, Tilburg University, Center for Economic Research.
- Magdalena Osinska & Marcin Faldzinski, 2008. "GARCH and SV Models with Application of Extreme Value Theory," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 8, pages 45-52.
- 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.
- Bauer, Daniel & Zanjani, George, 2021. "Economic capital and RAROC in a dynamic model," Journal of Banking & Finance, Elsevier, vol. 125(C).
- 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 EstadÃstica.
- Polbennikov, S.Y. & Melenberg, B., 2005. "Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection : An Empirical Comparison," Other publications TiSEM da47bd16-393d-4b80-96dc-1, Tilburg University, School of Economics and Management.
- Johannes Siven & Rolf Poulsen, 2009. "Auto-static for the people: risk-minimizing hedges of barrier options," Review of Derivatives Research, Springer, vol. 12(3), pages 193-211, October.
- Tomasz R. Bielecki & Igor Cialenco & Shibi Feng, 2018. "A Dynamic Model of Central Counterparty Risk," Papers 1803.02012, arXiv.org.
- 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.
- Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Scholarly Articles 2624460, Harvard University Department of Economics.
- 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.
- Takashi Kato, 2017. "Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level," Papers 1711.07335, arXiv.org.
- Alexandre Kurth & Dirk Tasche, 2002. "Credit Risk Contributions to Value-at-Risk and Expected Shortfall," Papers cond-mat/0207750, arXiv.org, revised Nov 2002.
- Polbennikov, S.Y. & Melenberg, B., 2005. "Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection : An Empirical Comparison," Discussion Paper 2005-100, Tilburg University, Center for Economic Research.
- Dirk Tasche, 2005. "Measuring sectoral diversification in an asymptotic multi-factor framework," Papers physics/0505142, arXiv.org, revised Jul 2006.
- 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).
- 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.
- Gilbert W. Bassett Jr Bassett & Roger Koenker & Gregory Kordas, 2004. "Pessimistic portfolio allocation and Choquet expected utility," CeMMAP working papers 09/04, Institute for Fiscal Studies.
- Christian Gourieroux & Wei Liu, 2006. "Sensitivity Analysis of Distortion Risk Measures," Working Papers 2006-33, Center for Research in Economics and Statistics.
- 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.
- Kerkhof, F.L.J., 2003. "Model risk analysis for risk management and option pricing," Other publications TiSEM 01692df5-4c2d-4ed2-8108-4, Tilburg University, School of Economics and Management.
- Jonathan El Methni & Laurent Gardes & Stéphane Girard, 2014. "Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(4), pages 988-1012, December.
- 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.
- 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).
- Robert Jarrow & Feng Zhao, 2006. "Downside Loss Aversion and Portfolio Management," Management Science, INFORMS, vol. 52(4), pages 558-566, April.
- Melenberg, B. & Polbennikov, S.Y., 2005. "Testing for Mean-Coherent Regular Risk Spanning," Discussion Paper 2005-99, Tilburg University, Center for Economic Research.
- Tomasz R. Bielecki & Igor Cialenco & Shibi Feng, 2018. "A Dynamic Model Of Central Counterparty Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-34, December.
- Marie Brière & Jean-David Fermanian & Hassan Malongo & Ombretta Signori, 2012. "Volatility Strategies for Global and Country Specific European Investors," Post-Print hal-01494509, HAL.
- Wang, Li-Hsun & Lin, Chu-Hsiung & Fung, Hung-Gay & Chen, Hsien-Ming, 2015. "Governance mechanisms and downside risk," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 485-498.
- Lorenzo Mercuri & Edit Rroji, 2014. "Parametric Risk Parity," Papers 1409.7933, arXiv.org.