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Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress

Citations

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Cited by:

  1. Dominique Guégan & Wayne Tarrant, 2012. "On the necessity of five risk measures," Annals of Finance, Springer, vol. 8(4), pages 533-552, November.
  2. 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, Department of Economics, Indiana University Bloomington.
  3. Bogdan DIMA & Lucian Liviu ALBU & Ştefana Maria DIMA & Roxana IOAN & Anca SARAOLU IONAŞCUŢI & Marian Ilie SIMINICA, 2025. "Dynamic Conditional Correlations and Risk Spread between International Financial Markets: A DCC-Garch Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 5-22, April.
  4. Cyril Caillault, Dominique Guégan, 2009. "Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy," Frontiers in Finance and Economics, SKEMA Business School, vol. 6(1), pages 26-50, April.
  5. Dominique Guegan & Wayne Tarrant, 2010. "On the necessity of five risk measures," Post-Print halshs-00460901, HAL.
  6. Fermanian, Jean-David & Scaillet, Olivier, 2005. "Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 927-958, April.
  7. Semih Atakan & Kerem Bülbül & Nilay Noyan, 2017. "Minimizing value-at-risk in single-machine scheduling," Annals of Operations Research, Springer, vol. 248(1), pages 25-73, January.
  8. Iulia Lupu & Ana Barbara Bobirca & Paul Gabriel Miclaus & Tudor Ciumara, 2020. "Risk Management of Companies Included in the EURO STOXX Sustainability Index. An Investors' Perception," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 22(55), pages 707-707, August.
  9. Dominique Gu'egan & Wayne Tarrant, 2011. "On the Necessity of Five Risk Measures," Papers 1111.4414, arXiv.org.
  10. Dominique Guegan & Wayne Tarrant, 2012. "On the Necessity of Five Risk Measures," Post-Print halshs-00721339, HAL.
  11. Giannopoulos, Kostas & Tunaru, Radu, 2005. "Coherent risk measures under filtered historical simulation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 979-996, April.
  12. Danae Politou & Paolo Giudici, 2009. "Modelling Operational Risk Losses with Graphical Models and Copula Functions," Methodology and Computing in Applied Probability, Springer, vol. 11(1), pages 65-93, March.
  13. Dominique Guegan & Wayne Tarrant, 2011. "Viewing risk measures as information," Documents de travail du Centre d'Economie de la Sorbonne 11054, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  14. Cyril Caillault & Dominique Guegan, 2009. "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," Post-Print halshs-00375765, HAL.
  15. Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & Maasoumi, Esfandiar & McAleer, Michael & Pérez-Amaral, Teodosio, 2019. "Choosing expected shortfall over VaR in Basel III using stochastic dominance," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 95-113.
  16. Charilaos Mertzanis, 2013. "Risk Management Challenges after the Financial Crisis," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 42(3), pages 285-320, November.
  17. Yamai, Yasuhiro & Yoshiba, Toshinao, 2005. "Value-at-risk versus expected shortfall: A practical perspective," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 997-1015, April.
  18. 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.
  19. Wayne Tarrant, 2011. "Historical risk measures on stock market indices and energy markets," Papers 1111.4421, arXiv.org.
  20. Dominique Gu/'egan & Wayne Tarrant, 2011. "Viewing Risk Measures as Information," Papers 1111.4417, arXiv.org.
  21. Luciana Dalla Valle, 2012. "Erratum to: Bayesian Copulae Distributions, with Application to Operational Risk Management," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 1121-1121, December.
  22. 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.
  23. Dominique Guegan & Wayne Tarrant, 2012. "Viewing Risk Measures as information," Working Papers halshs-00721350, HAL.
  24. Annalisa Di Clemente, 2019. "Comparing Different Systemic Risk Measures for European Banking System," International Business Research, Canadian Center of Science and Education, vol. 12(1), pages 35-53, January.
  25. repec:hal:wpaper:halshs-00721339 is not listed on IDEAS
  26. Cyril Caillault & Dominique Guegan, 2009. "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," PSE-Ecole d'économie de Paris (Postprint) halshs-00375765, HAL.
  27. Battaglia, Francesca & Gallo, Angela, 2017. "Strong boards, ownership concentration and EU banks’ systemic risk-taking: Evidence from the financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 128-146.
  28. Lin, Li & Surti, Jay, 2015. "Capital requirements for over-the-counter derivatives central counterparties," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 140-155.
  29. Dominique Guegan & Wayne Tarrant, 2012. "On the Necessity of Five Risk Measures," PSE-Ecole d'économie de Paris (Postprint) halshs-00721339, HAL.
  30. Dominique Guegan & Wayne Tarrant, 2011. "Viewing Risk Measures as information," Post-Print halshs-00639489, HAL.
  31. Battaglia, Francesca & Gallo, Angela & Mazzuca, Maria, 2014. "Securitized banking and the Euro financial crisis: Evidence from the Italian banks risk-taking," Journal of Economics and Business, Elsevier, vol. 76(C), pages 85-100.
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