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Citations for "Expected shortfall and beyond"

by Tasche, Dirk

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  1. 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.
  2. 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.
  3. John Cotter & Jim Hanly, 2006. "Reevaluating hedging performance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(7), pages 677-702, 07.
  4. 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.
  5. repec:hal:journl:halshs-00969242 is not listed on IDEAS
  6. Albrecht, Peter, 2003. "Risk based capital allocation," Papers 03-02, Sonderforschungsbreich 504.
  7. 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.
  8. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
  9. 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.
  10. 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.
  11. Jacques Pézier, 2011. "Rationalization of Investment Preference Criteria," ICMA Centre Discussion Papers in Finance icma-dp2011-12, Henley Business School, Reading University.
  12. 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.
  13. 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.
  14. 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.
  15. repec:spr:fininn:v:1:y:2015:i:1:d:10.1186_s40854-015-0006-5 is not listed on IDEAS
  16. 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.
  17. Albrecht, Peter, 2003. "Risk measures," Papers 03-01, Sonderforschungsbreich 504.
  18. 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.
  19. repec:hal:journl:hal-00921283 is not listed on IDEAS
  20. Marie Kratz & Yen Lok & Alexander Mcneil, 2016. "Multinomial var backtests: A simple implicit approach to backtesting expected shortfall," Working Papers hal-01424279, HAL.
  21. 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.
  22. Gilbert W. Bassett, 2004. "Pessimistic Portfolio Allocation and Choquet Expected Utility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(4), pages 477-492.
  23. Szego, Giorgio, 2005. "Measures of risk," European Journal of Operational Research, Elsevier, vol. 163(1), pages 5-19, May.
  24. 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.
  25. repec:dau:papers:123456789/9298 is not listed on IDEAS
  26. 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.
  27. 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.
  28. 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.
  29. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
  30. 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.
  31. 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.
  32. 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.
  33. Kerkhof, Jeroen & Melenberg, Bertrand, 2004. "Backtesting for risk-based regulatory capital," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1845-1865, August.
  34. 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.
  35. 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.
  36. repec:eee:reveco:v:50:y:2017:i:c:p:8-22 is not listed on IDEAS
  37. Ivan Granito & Paolo De Angelis, 2015. "Capital allocation and risk appetite under Solvency II framework," Papers 1511.02934, arXiv.org.
  38. Ruiz, Esther & Nieto, María Rosa, 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 Estadística.
  39. 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.
  40. 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.
  41. 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.
  42. Avramidis, Panagiotis & Pasiouras, Fotios, 2015. "Calculating systemic risk capital: A factor model approach," Journal of Financial Stability, Elsevier, vol. 16(C), pages 138-150.
  43. 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.
  44. repec:spr:compst:v:69:y:2009:i:3:p:475-495 is not listed on IDEAS
  45. 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.
  46. Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Scholarly Articles 2624460, Harvard University Department of Economics.
  47. Mario Brandtner, 2016. "Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke," Management Review Quarterly, Springer;Vienna University of Economics and Business, vol. 66(2), pages 75-115, April.
  48. Dirk Tasche, 2005. "Measuring sectoral diversification in an asymptotic multi-factor framework," Papers physics/0505142, arXiv.org, revised Jul 2006.
  49. 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.
  50. 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).
  51. 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.
  52. 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.
  53. 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.
  54. Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 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.
  55. Dirk Tasche, 2011. "Bayesian estimation of probabilities of default for low default portfolios," Papers 1112.5550, arXiv.org, revised Aug 2013.
  56. 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, Reading University, revised Dec 2008.
  57. Robert Jarrow & Feng Zhao, 2006. "Downside Loss Aversion and Portfolio Management," Management Science, INFORMS, vol. 52(4), pages 558-566, April.
  58. Melenberg, B. & Polbennikov, S.Y., 2005. "Testing for Mean-Coherent Regular Risk Spanning," Discussion Paper 2005-99, Tilburg University, Center for Economic Research.
  59. Marie Brière & Jean-David Fermanian & Hassan Malongo & Ombretta Signori, 2012. "Volatility Strategies for Global and Country Specific European Investors," Post-Print hal-01494509, HAL.
  60. 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.
  61. 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.
  62. Lorenzo Mercuri & Edit Rroji, 2014. "Parametric Risk Parity," Papers 1409.7933, arXiv.org.
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