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Quantitative Risk Management: Concepts, Techniques and Tools Revised edition

Citations

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Cited by:

  1. Shazia Rehman Khan, 2026. "The inspirational value of whistleblowing in the organization: an attributional perspective," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 30(2), pages 637-673, June.
  2. Abduraimova, Kumushoy, 2022. "Contagion and tail risk in complex financial networks," Journal of Banking & Finance, Elsevier, vol. 143(C).
  3. Zbigniew Korzeb, 2016. "The influence of currency risk upon the market value of commercial banks operating in the Polish banking sector," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 11(4), pages 57-63, March.
  4. Salvatore D. Tomarchio & Michael P. B. Gallaugher, 2026. "Mixtures of regressions using matrix-variate heavy-tailed distributions," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 20(1), pages 11-38, March.
  5. Blier-Wong, Christopher & Cossette, Hélène & Marceau, Etienne, 2025. "Efficient evaluation of risk allocations," Insurance: Mathematics and Economics, Elsevier, vol. 122(C), pages 119-136.
  6. Ujjwala Vadrevu, 2026. "A Hybrid Gaussian Process Regression Framework for Stable Volatility-Covariance Estimation: Evidence from Global Equity Indices," Papers 2605.17275, arXiv.org.
  7. Augusto Blanc-Blocquel & Luis Ortiz-Gracia & Simona Sanfelici, 2024. "Climate-Related Default Probabilities," Risks, MDPI, vol. 12(11), pages 1-19, November.
  8. Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020. "A cost-benefit analysis of capital requirements adjusted for model risk," Journal of Corporate Finance, Elsevier, vol. 65(C).
  9. Yifan He & Abootaleb Shirvani & Barret Shao & Svetlozar Rachev & Frank Fabozzi, 2024. "Beyond the Bid-Ask: Strategic Insights into Spread Prediction and the Global Mid-Price Phenomenon," Papers 2404.11722, arXiv.org, revised Oct 2024.
  10. Michael Multerer & Paul Schneider & Rohan Sen, 2023. "Fast Empirical Scenarios," Papers 2307.03927, arXiv.org, revised Nov 2024.
  11. Tobias Fissler & Yannick Hoga, 2024. "How to Compare Copula Forecasts?," Papers 2410.04165, arXiv.org.
  12. Imran Ali Khan & Sami Ur Rahman, 2026. "Integrating NeuroFuzzy and Copula Model for Robust Cryptocurrency Exchange Rate Forecasting Using Environmental and Economic Data," Computational Economics, Springer;Society for Computational Economics, vol. 67(6), pages 5053-5081, June.
  13. Masahiko Egami & Rusudan Kevkhishvili, 2020. "Time reversal and last passage time of diffusions with applications to credit risk management," Finance and Stochastics, Springer, vol. 24(3), pages 795-825, July.
  14. Birghila, Corina & Aigner, Maximilian & Engelke, Sebastian, 2025. "Distributionally robust tail bounds based on Wasserstein distance and f-divergence," Insurance: Mathematics and Economics, Elsevier, vol. 125(C).
  15. Avanzi, Benjamin & Taylor, Greg & Wong, Bernard & Yang, Xinda, 2021. "On the modelling of multivariate counts with Cox processes and dependent shot noise intensities," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 9-24.
  16. Leonardo Quero Virla, 2023. "An empirical characterization of volatility in the German stock market," SN Business & Economics, Springer, vol. 3(7), pages 1-19, July.
  17. Pfeifer Dietmar & Mändle Andreas & Ragulina Olena, 2017. "New copulas based on general partitions-of-unity and their applications to risk management (part II)," Dependence Modeling, De Gruyter, vol. 5(1), pages 246-255, October.
  18. Zdravko I. Botev & Robert Salomone & Daniel Mackinlay, 2019. "Fast and accurate computation of the distribution of sums of dependent log-normals," Annals of Operations Research, Springer, vol. 280(1), pages 19-46, September.
  19. Edgars Jakobsons & Steven Vanduffel, 2015. "Dependence Uncertainty Bounds for the Expectile of a Portfolio," Risks, MDPI, vol. 3(4), pages 1-25, December.
  20. Diba Daraei & Kristina Sendova, 2024. "Determining Safe Withdrawal Rates for Post-Retirement via a Ruin-Theory Approach," Risks, MDPI, vol. 12(4), pages 1-21, April.
  21. Makam, Vaishno Devi & Millossovich, Pietro & Tsanakas, Andreas, 2021. "Sensitivity analysis with χ2-divergences," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 372-383.
  22. Nicole Bäuerle & Alexander Glauner, 2021. "Minimizing spectral risk measures applied to Markov decision processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(1), pages 35-69, August.
  23. Li, Junkan & Arita, Shawn & Steinbach, Sandro, 2026. "A Technical Manual for Stochastic Simulation of Crop Yield, Price, and Policy Outcomes," ARPC Report 404241, North Dakota State University.
  24. Samuel Drapeau & Mekonnen Tadese, 2019. "Dual Representation of Expectile based Expected Shortfall and Its Properties," Papers 1911.03245, arXiv.org.
  25. Majid Asadi & Jeffrey S. Racine & Ehsan S. Soof & Shaomin Wu, 2025. "Financial Risk Under Shortfall Level Uncertainty," Department of Economics Working Papers 2025-04, McMaster University.
  26. Samyajoy Pal & Christian Heumann, 2026. "Flexible Multivariate Mixture Models: A Comprehensive Approach for Modeling Mixtures of Non‐Identical Distributions," International Statistical Review, International Statistical Institute, vol. 94(1), pages 61-96, April.
  27. Simone Cuonzo & Nina Deliu, 2026. "Conformal Prediction Intervals with Tail-Specific Guarantees," Papers 2606.18199, arXiv.org.
  28. Zhe Yan & Zhiping Chen & Giorgio Consigli & Jia Liu & Ming Jin, 2020. "A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems," Annals of Operations Research, Springer, vol. 292(2), pages 849-881, September.
  29. Nevrla, Matěj, 2020. "Systemic risk in European financial and energy sectors: Dynamic factor copula approach," Economic Systems, Elsevier, vol. 44(4).
  30. Justus Contzen & Thorsten Dickhaus & Gerrit Lohmann, 2023. "Long-term temporal evolution of extreme temperature in a warming Earth," PLOS ONE, Public Library of Science, vol. 18(2), pages 1-30, February.
  31. Nuerxiati Abudurexiti & Kai He & Dongdong Hu & Svetlozar T. Rachev & Hasanjan Sayit & Ruoyu Sun, 2021. "Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models," Papers 2111.04311, arXiv.org, revised Feb 2023.
  32. Nuerxiati Abudurexiti & Erhan Bayraktar & Takaki Hayashi & Hasanjan Sayit, 2024. "Two-fund separation under hyperbolically distributed returns and concave utility functions," Papers 2410.04459, arXiv.org, revised Feb 2026.
  33. Patrick Cheridito & John Ery & Mario V. Wüthrich, 2020. "Assessing Asset-Liability Risk with Neural Networks," Risks, MDPI, vol. 8(1), pages 1-17, February.
  34. Nguyen, Hoang & Virbickaitė, Audronė, 2023. "Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models," Energy Economics, Elsevier, vol. 124(C).
  35. Dima, Bogdan & Dima, Ştefana Maria & Ioan, Roxana, 2025. "The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 98(C).
  36. 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.
  37. Eric Vansteenberhge, 2025. "Insurance Supervision under Climate Change: A Pioneer Detection Method," Papers 2511.16760, arXiv.org.
  38. Chen, Yiqing, 2025. "The heavy-tail behavior of the difference of two dependent random variables," Statistics & Probability Letters, Elsevier, vol. 218(C).
  39. Alexeev Vitali & Ignatieva Katja & Liyanage Thusitha, 2021. "Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-20, April.
  40. Battulga Gankhuu, 2022. "Merton's Default Risk Model for Private Company," Papers 2208.01974, arXiv.org.
  41. Zapata, José M., 2026. "Sharp large deviation estimates for Gaussian extrema," Statistics & Probability Letters, Elsevier, vol. 235(C).
  42. Florentina Paraschiv & Stine Marie Reese & Margrethe Ringkjøb Skjelstad, 2020. "Portfolio stress testing applied to commodity futures," Computational Management Science, Springer, vol. 17(2), pages 203-240, June.
  43. Zhou, Wei & Moncaster, Alice & O'Neill, Eoghan & Reiner, David M. & Wang, Xinke & Guthrie, Peter, 2022. "Modelling future trends of annual embodied energy of urban residential building stock in China," Energy Policy, Elsevier, vol. 165(C).
  44. Rosnan Chotard & Michel Dacorogna & Marie Kratz, 2016. "Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study," Working Papers hal-01424285, HAL.
  45. Ackerer Damien & Vatter Thibault, 2017. "Dependent defaults and losses with factor copula models," Dependence Modeling, De Gruyter, vol. 5(1), pages 375-399, December.
  46. Saminger-Platz Susanne & Kolesárová Anna & Šeliga Adam & Mesiar Radko & Klement Erich Peter, 2024. "On comprehensive families of copulas involving the three basic copulas and transformations thereof," Dependence Modeling, De Gruyter, vol. 12(1), pages 1-36.
  47. Felix-Benedikt Liebrich & Ruodu Wang, 2025. "Eliciting reference measures of law-invariant functionals," Papers 2507.13763, arXiv.org, revised Aug 2026.
  48. 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.
  49. Hofert, Marius & Prasad, Avinash & Zhu, Mu, 2022. "Multivariate time-series modeling with generative neural networks," Econometrics and Statistics, Elsevier, vol. 23(C), pages 147-164.
  50. Kevin Jakob & Johannes Churt & Matthias Fischer & Kim Nolte & Yarema Okhrin & Dirk Sondermann & Stefan Wilke & Thomas Worbs, 2023. "Fast approximation methods for credit portfolio risk calculations," Digital Finance, Springer, vol. 5(3), pages 689-716, December.
  51. Felix-Benedikt Liebrich, 2026. "A unifying perspective on the collapse to the mean for law-invariant functionals," Papers 2608.03466, arXiv.org.
  52. Conlon, Thomas & Cotter, John & Ropotos, Ioannis, 2026. "Drivers of firm-level tail dependence: A machine learning approach," Journal of Economic Dynamics and Control, Elsevier, vol. 182(C).
  53. Lan Bu & Ning Cai & Chenxi Xia & Jingping Yang, 2026. "Perfectly Fitting CDO Prices Across Tranches: A Theoretical Framework with Efficient Algorithms," Papers 2602.08039, arXiv.org.
  54. Jose Blanchet & Henry Lam & Yang Liu & Ruodu Wang, 2025. "Convolution Bounds on Quantile Aggregation," Operations Research, INFORMS, vol. 73(5), pages 2761-2781, September.
  55. Hengxin Cui & Ken Seng Tan & Fan Yang, 2024. "Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation," Annals of Operations Research, Springer, vol. 332(1), pages 55-84, January.
  56. Fengnan Deng & Anand N. Vidyashankar & Jeffrey F. Collamore, 2025. "Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk," Papers 2509.19151, arXiv.org, revised Oct 2025.
  57. Michele Bonollo & Martino Grasselli & Gianmarco Mori & Havva Nilsu Oz, 2025. "Informative Risk Measures in the Banking Industry: A Proposal based on the Magnitude-Propensity Approach," Papers 2511.21556, arXiv.org.
  58. Michele Costola & Bertrand Maillet & Zhining Yuan & Xiang Zhang, 2024. "Mean–variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem," Annals of Operations Research, Springer, vol. 334(1), pages 133-155, March.
  59. Mohammed Berkhouch & Fernanda Maria Müller & Ghizlane Lakhnati & Marcelo Brutti Righi, 2022. "Deviation-Based Model Risk Measures," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 527-547, February.
  60. Hengxin Cui & Ken Seng Tan & Fan Yang, 2024. "Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation," Papers 2411.06640, arXiv.org.
  61. Khreshna Syuhada & Rizka Puspitasari & I Kadek Darma Arnawa & Lailatul Mufaridho & Elonasari Elonasari & Miftahul Jannah & Aniq Rohmawati, 2024. "Enhancing Value-at-Risk with Credible Expected Risk Models," IJFS, MDPI, vol. 12(3), pages 1-15, August.
  62. Stephan Schlüter & Fabian Menz & Milena Kojić & Petar Mitić & Aida Hanić, 2022. "A Novel Approach to Generate Hourly Photovoltaic Power Scenarios," Sustainability, MDPI, vol. 14(8), pages 1-16, April.
  63. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
    • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
  64. Borowska, Agnieszka & Hoogerheide, Lennart & Koopman, Siem Jan & van Dijk, Herman K., 2020. "Partially censored posterior for robust and efficient risk evaluation," Journal of Econometrics, Elsevier, vol. 217(2), pages 335-355.
  65. Dietmar Pfeifer & Olena Ragulina, 2018. "Generating VaR Scenarios under Solvency II with Product Beta Distributions," Risks, MDPI, vol. 6(4), pages 1-15, October.
  66. Landsman, Zinoviy & Makov, Udi & Shushi, Tomer, 2016. "Multivariate tail conditional expectation for elliptical distributions," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 216-223.
  67. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2017. "The kidnapping of Europe: High-order moments' transmission between developed and emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 96-115.
  68. Yuyu Chen & Paul Embrechts & Ruodu Wang, 2022. "An unexpected stochastic dominance: Pareto distributions, dependence, and diversification," Papers 2208.08471, arXiv.org, revised Mar 2024.
  69. Qiu, Zhiguo & Lazar, Emese & Nakata, Keiichi, 2024. "VaR and ES forecasting via recurrent neural network-based stateful models," International Review of Financial Analysis, Elsevier, vol. 92(C).
  70. Li, Xiaoting & Joe, Harry, 2024. "Multivariate directional tail-weighted dependence measures," Journal of Multivariate Analysis, Elsevier, vol. 203(C).
  71. Mario Ghossoub & Michael B. Zhu & Wing Fung Chong, 2024. "Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures," Papers 2409.05103, arXiv.org.
  72. Hintz, Erik & Hofert, Marius & Lemieux, Christiane, 2021. "Normal variance mixtures: Distribution, density and parameter estimation," Computational Statistics & Data Analysis, Elsevier, vol. 157(C).
  73. E. Ramos-P'erez & P. J. Alonso-Gonz'alez & J. J. N'u~nez-Vel'azquez, 2020. "Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network," Papers 2006.16383, arXiv.org, revised Aug 2020.
  74. Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2023. "Vector autoregression models with skewness and heavy tails," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
  75. Gorgi, P. & Koopman, S.J., 2023. "Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects," Journal of Econometrics, Elsevier, vol. 237(2).
  76. Dimitris Bertsimas & Agni Orfanoudaki, 2021. "Algorithmic Insurance," Papers 2106.00839, arXiv.org, revised Mar 2026.
  77. Ruodu Wang & Zuo Quan Xu & Xun Yu Zhou, 2019. "Dual utilities on risk aggregation under dependence uncertainty," Finance and Stochastics, Springer, vol. 23(4), pages 1025-1048, October.
  78. Mario Ghossoub & Giulio Principi & Ruodu Wang, 2024. "Allocation Mechanisms in Decentralized Exchange Markets with Frictions," Papers 2404.10900, arXiv.org, revised Mar 2026.
  79. Jiao, Lei & Zhou, Qing (Clara), 2026. "Economic conditions and portfolio tail risk: A probability-weighted simulation approach," Journal of Empirical Finance, Elsevier, vol. 87(C).
  80. Yali Dou & Haiyan Liu & Georgios Aivaliotis, 2019. "Dynamic Dependence Modeling in financial time series," Papers 1908.05130, arXiv.org.
  81. Shintaro Mori & Masato Hisakado, 2026. "Temporal Coarse-Graining of Multi-Sector Default Count Data Generates Posterior-Implied Copulas," Papers 2606.22162, arXiv.org, revised Jun 2026.
  82. Jie Shen & Yi Shen & Bin Wang & Ruodu Wang, 2019. "Distributional compatibility for change of measures," Finance and Stochastics, Springer, vol. 23(3), pages 761-794, July.
  83. Yi Shen & Zachary Van Oosten & Ruodu Wang, 2026. "Partial Law Invariance and Risk Measures," Management Science, INFORMS, vol. 72(7), pages 6251-6266, July.
  84. Christopher Chambers & Alan Miller & Ruodu Wang & Qinyu Wu, 2025. "Max- and min-stability under first-order stochastic dominance," Mathematics and Financial Economics, Springer, volume 19, number 7, March.
  85. repec:hal:wpaper:hal-03715954 is not listed on IDEAS
  86. Guicang Peng & Jon Tømmerås Selvik & Eirik Bjorheim Abrahamsen & Knut Erik Bang & Tore Markeset, 2024. "Integrating structure time series forecasting and multicriteria decision analysis for adaptive operational risk assessment: an empirical study using real-time data," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 15(7), pages 3162-3181, July.
  87. Nadezhda Gribkova & Ričardas Zitikis, 2019. "Weighted allocations, their concomitant-based estimators, and asymptotics," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(4), pages 811-835, August.
  88. Patton, Andrew J. & Ziegel, Johanna F. & Chen, Rui, 2019. "Dynamic semiparametric models for expected shortfall (and Value-at-Risk)," Journal of Econometrics, Elsevier, vol. 211(2), pages 388-413.
  89. Dohyun Ahn & Nan Chen & Kyoung-Kuk Kim, 2024. "Robust Risk Quantification via Shock Propagation in Financial Networks," Operations Research, INFORMS, vol. 72(1), pages 1-18, January.
  90. Yaw‐Huei Wang & Kuang‐Chieh Yen, 2018. "The information content of option‐implied tail risk on the future returns of the underlying asset," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(4), pages 493-510, April.
  91. Leon (Liang) Xin & Shanshan Ding, 2021. "Expected returns with leverage constraints and target returns," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 200-208, May.
  92. Tim J. Boonen & Wing Fung Chong & Mario Ghossoub, 2024. "Pareto‐efficient risk sharing in centralized insurance markets with application to flood risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 91(2), pages 449-488, June.
  93. Gkillas, Konstantinos & Konstantatos, Christoforos & Papathanasiou, Spyros & Wohar, Mark, 2023. "Estimation of value at risk for copper," Journal of Commodity Markets, Elsevier, vol. 32(C).
  94. Paulusch, Joachim & Schlütter, Sebastian, 2022. "Sensitivity-implied tail-correlation matrices," Journal of Banking & Finance, Elsevier, vol. 134(C).
  95. Shogo Kato & Toshinao Yoshiba & Shinto Eguchi, 2022. "Copula-based measures of asymmetry between the lower and upper tail probabilities," Statistical Papers, Springer, vol. 63(6), pages 1907-1929, December.
  96. Damien Ackerer & Damir Filipović, 2020. "Option pricing with orthogonal polynomial expansions," Mathematical Finance, Wiley Blackwell, vol. 30(1), pages 47-84, January.
  97. Pietro Rossi & Flavio Cocco & Giacomo Bormetti, 2020. "Deep learning Profit & Loss," Papers 2006.09955, arXiv.org, revised Aug 2020.
  98. Tamás Kiss & Hoang Nguyen & Pär Österholm, 2023. "Modelling Okun’s law: Does non-Gaussianity matter?," Empirical Economics, Springer, vol. 64(5), pages 2183-2213, May.
  99. Noureddine Benlagha & Wael Hemrit, 2018. "The Dynamic and Dependence of Takaful and Conventional Stock Return Behaviours: Evidence from the Insurance Industry in Saudi Arabia," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 25(4), pages 285-323, December.
  100. Yuyu Chen & Taizhong Hu & Ruodu Wang & Zhenfeng Zou, 2024. "Diversification for infinite-mean Pareto models without risk aversion," Papers 2404.18467, arXiv.org, revised Feb 2025.
  101. Brummelhuis, Raymond & Luo, Zhongmin, 2019. "Bank Net Interest Margin Forecasting and Capital Adequacy Stress Testing by Machine Learning Techniques," MPRA Paper 94779, University Library of Munich, Germany.
  102. Eric Vansteenberghe, 2026. "Insurance supervision under climate change: a pioneer detection method," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 51(1), pages 176-207, January.
  103. Tathagata Banerjee & Zachary Feinstein, 2018. "Pricing of debt and equity in a financial network with comonotonic endowments," Papers 1810.01372, arXiv.org, revised Sep 2021.
  104. Stephen Chan & Saralees Nadarajah, 2019. "Risk: An R Package for Financial Risk Measures," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1337-1351, April.
  105. Xuehai Zhang, 2019. "Value at Risk and Expected Shortfall under General Semi-parametric GARCH models," Working Papers CIE 123, Paderborn University, CIE Center for International Economics.
  106. Tsuruta, Masaru, 2020. "Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  107. Charfeddine, Lanouar & Benlagha, Noureddine & Maouchi, Youcef, 2020. "Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors," Economic Modelling, Elsevier, vol. 85(C), pages 198-217.
  108. Tobias Eckernkemper & Bastian Gribisch, 2021. "Intraday conditional value at risk: A periodic mixed‐frequency generalized autoregressive score approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 883-910, August.
  109. Michael Schmutz & Eckhard Platen & Thorsten Schmidt, 2025. "Benchmark-Neutral Risk-Minimization for insurance products and nonreplicable claims," Papers 2506.19494, arXiv.org.
  110. Janine Balter & Alexander J. McNeil, 2018. "On the Basel Liquidity Formula for Elliptical Distributions," Papers 1803.07590, arXiv.org.
  111. Burzoni, Matteo & Munari, Cosimo & Wang, Ruodu, 2022. "Adjusted Expected Shortfall," Journal of Banking & Finance, Elsevier, vol. 134(C).
  112. Alexandros E. Tzikas & Emmanuel J. Cand`es & Trevor Hastie & Stephen P. Boyd & Mykel J. Kochenderfer & Ronald N. Kahn, 2026. "Enhancing a Risk Model by Adding Transient Statistical Factors," Papers 2605.12977, arXiv.org.
  113. Allaj, Erindi & Sanfelici, Simona, 2023. "Early Warning Systems for identifying financial instability," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1777-1803.
  114. Rootzen, Holger & Segers, Johan & Wadsworth, Jenny, 2016. "Multivariate peaks over thresholds models," LIDAM Discussion Papers ISBA 2016018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  115. Miriam Isabel Seifert, 2023. "Characterization of valid auxiliary functions for representations of extreme value distributions and their max-domains of attraction," Papers 2311.15355, arXiv.org.
  116. Bernardi Mauro & Roy Cerqueti & Arsen Palestini, 2016. "Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall," Papers 1608.02365, arXiv.org.
  117. Paolo Vanini & Sebastiano Rossi & Ermin Zvizdic & Thomas Domenig, 2023. "Online payment fraud: from anomaly detection to risk management," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-25, December.
  118. Hasanjan Sayit, 2022. "Efficient frontiers for portfolios under SSD and law-invariant risk measures with hyperbolic return distributions," Papers 2202.02488, arXiv.org, revised Aug 2026.
  119. Gordy, Michael B. & McNeil, Alexander J., 2020. "Spectral backtests of forecast distributions with application to risk management," Journal of Banking & Finance, Elsevier, vol. 116(C).
  120. Bee, Marco & Santi, Flavio, 2026. "Noise-contrastive estimation of dynamic mixture distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 246(C), pages 299-310.
  121. Yang Yang & Xinzhi Wang & Xiaonan Su & Aili Zhang, 2019. "Asymptotic Behavior of Ruin Probabilities in an Insurance Risk Model with Quasi-Asymptotically Independent or Bivariate Regularly Varying-Tailed Main Claim and By-Claim," Complexity, Hindawi, vol. 2019, pages 1-6, October.
  122. Tobias Fissler & Jana Hlavinová & Birgit Rudloff, 2021. "Elicitability and identifiability of set-valued measures of systemic risk," Finance and Stochastics, Springer, vol. 25(1), pages 133-165, January.
  123. Dohyun Ahn & Lewen Zheng, 2026. "Efficient Simulation of Polyhedral Expectations with Applications to Finance," Mathematics of Operations Research, INFORMS, vol. 51(2), pages 1312-1349, May.
  124. Ignatieva, Katja & Landsman, Zinoviy, 2021. "A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 437-465.
  125. Laeven, Roger J.A. & Rosazza Gianin, Emanuela & Zullino, Marco, 2024. "Law-invariant return and star-shaped risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 140-153.
  126. Federico Pasquale Cortese, 2019. "Tail Dependence in Financial Markets: A Dynamic Copula Approach," Risks, MDPI, vol. 7(4), pages 1-14, November.
  127. Jean-Gabriel Lauzier & Liyuan Lin & Ruodu Wang, 2023. "Pairwise counter-monotonicity," Papers 2302.11701, arXiv.org, revised May 2023.
  128. Christos E. Kountzakis & Damiano Rossello, 2024. "Risk Measures’ Duality on Ordered Linear Spaces," Mathematics, MDPI, vol. 12(8), pages 1-15, April.
  129. Ting-Jung Lee & Abootaleb Shirvani & Farzana Afroz & Svetlozar T. Rachev & Frank J. Fabozzi, 2026. "Portfolio Optimization under Heavy Tails and Asymmetric Volatility: Evidence from Taiwan-Exposed ETFs," Papers 2607.16450, arXiv.org.
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