7
H index
7
i10 index
911
Citations
Budapesti Corvinus Egyetem (50% share) | 7 H index 7 i10 index 911 Citations RESEARCH PRODUCTION: 4 Articles 5 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Carlo Acerbi. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Banking & Finance | 2 |
Quantitative Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 5 |
Year | Title of citing document | |
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2022 | An Application of Geographically Weighted Quantile Lasso to Weather Index Insurance Design. (2022). Miquelluti, David Jose ; Ozaki, Vitor Augusto. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:26:y:2022:i:3:1506. Full description at Econpapers || Download paper | |
2020 | Risk Management of Companies Included in the EURO STOXX Sustainability Index. An Investors Perception. (2020). Lupu, Iulia ; Ciumara, Tudor ; MICLAUS, Paul Gabriel ; Bobirca, Ana Barbara. In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:22:y:2020:i:55:p:707. Full description at Econpapers || Download paper | |
2020 | An application of geographically weighted quantile LASSO to weather index insurance design. (2020). Miquelluti, David J ; Ozaki, Vitor. In: 2020 Annual Meeting, July 26-28, Kansas City, Missouri. RePEc:ags:aaea20:304288. Full description at Econpapers || Download paper | |
2021 | Comonotonic risk measures in a world without risk-free assets. (2017). Svindland, Gregor ; Koch-Medina, Pablo ; Munari, Cosimo. In: Papers. RePEc:arx:papers:1602.05477. Full description at Econpapers || Download paper | |
2020 | On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829. Full description at Econpapers || Download paper | |
2020 | A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977. Full description at Econpapers || Download paper | |
2020 | Statistical arbitrage of coherent risk measures. (2019). Brigo, Damiano ; Armstrong, John. In: Papers. RePEc:arx:papers:1902.10015. Full description at Econpapers || Download paper | |
2021 | Kernel Based Estimation of Spectral Risk Measures. (2019). Sen, Rituparna ; Biswas, Suparna . In: Papers. RePEc:arx:papers:1903.03304. Full description at Econpapers || Download paper | |
2020 | Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall. (2019). Tadese, Mekonnen ; Drapeau, Samuel. In: Papers. RePEc:arx:papers:1906.09729. Full description at Econpapers || Download paper | |
2020 | The Impact of the Choice of Risk and Dispersion Measure on Procyclicality. (2020). Kratz, Marie ; Brautigam, Marcel. In: Papers. RePEc:arx:papers:2001.00529. Full description at Econpapers || Download paper | |
2021 | A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting. (2020). Gao, Junbin ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Li, Zhengkun. In: Papers. RePEc:arx:papers:2001.08374. Full description at Econpapers || Download paper | |
2020 | On the equivalence between Value-at-Risk and Expected Shortfall in non-concave optimization. (2020). Zhang, Fangyuan ; Stadje, Mitja ; Chen, AN. In: Papers. RePEc:arx:papers:2002.02229. Full description at Econpapers || Download paper | |
2021 | Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps. (2020). Vasiljevi, Nikola ; Mathys, Ludovic ; Farkas, Walter. In: Papers. RePEc:arx:papers:2002.04675. Full description at Econpapers || Download paper | |
2022 | Inf-convolution and optimal risk sharing with arbitrary sets of risk measures. (2020). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2003.05797. Full description at Econpapers || Download paper | |
2020 | Convex Risk Measures based on Divergence. (2020). Pichler, Alois ; Dommel, Paul. In: Papers. RePEc:arx:papers:2003.07648. Full description at Econpapers || Download paper | |
2020 | Computation of Expected Shortfall by fast detection of worst scenarios. (2020). Virrion, Benjamin ; Reghai, Adil ; Bouchard, Bruno. In: Papers. RePEc:arx:papers:2005.12593. Full description at Econpapers || Download paper | |
2020 | Quantitative Statistical Robustness for Tail-Dependent Law Invariant Risk Measures. (2020). Xu, Huifu ; Wang, Wei ; Ma, Tiejun. In: Papers. RePEc:arx:papers:2006.15491. Full description at Econpapers || Download paper | |
2021 | Adjusted Expected Shortfall. (2020). Munari, Cosimo ; Burzoni, Matteo ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2007.08829. Full description at Econpapers || Download paper | |
2020 | Pricing and Capital Allocation for Multiline Insurance Firms With Finite Assets in an Imperfect Market. (2020). Mildenhall, Stephen J ; Major, John A. In: Papers. RePEc:arx:papers:2008.12427. Full description at Econpapers || Download paper | |
2020 | Dependent Conditional Value-at-Risk for Aggregate Risk Models. (2020). Syuhada, Khreshna ; Josaphat, Bony. In: Papers. RePEc:arx:papers:2009.02904. Full description at Econpapers || Download paper | |
2021 | A Dual Characterisation of Regulatory Arbitrage for Coherent Risk Measures. (2020). Khan, Nazem ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2009.05498. Full description at Econpapers || Download paper | |
2020 | Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341. Full description at Econpapers || Download paper | |
2022 | Optimizing distortion riskmetrics with distributional uncertainty. (2020). Wang, Qiuqi ; Pesenti, Silvana. In: Papers. RePEc:arx:papers:2011.04889. Full description at Econpapers || Download paper | |
2021 | Portfolio Optimisation within a Wasserstein Ball. (2020). Jaimungal, Sebastian ; Pesenti, Silvana. In: Papers. RePEc:arx:papers:2012.04500. Full description at Econpapers || Download paper | |
2020 | Minimizing Spectral Risk Measures Applied to Markov Decision Processes. (2020). Glauner, Alexander ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2012.04521. Full description at Econpapers || Download paper | |
2021 | Aspects of a phase transition in high-dimensional random geometry. (2021). Pruser, Axel ; Engel, Andreas ; Kondor, Imre. In: Papers. RePEc:arx:papers:2105.04395. Full description at Econpapers || Download paper | |
2021 | Deep Graph Convolutional Reinforcement Learning for Financial Portfolio Management -- DeepPocket. (2021). Paquet, Eric ; Soleymani, Farzan. In: Papers. RePEc:arx:papers:2105.08664. Full description at Econpapers || Download paper | |
2021 | Modeling Portfolios with Leptokurtic and Dependent Risk Factors. (2021). Zoia, Maria Grazia ; Vacca, Gianmarco ; Quatto, Piero. In: Papers. RePEc:arx:papers:2106.04218. Full description at Econpapers || Download paper | |
2021 | Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca. In: Papers. RePEc:arx:papers:2106.06518. Full description at Econpapers || Download paper | |
2021 | Reverse Sensitivity Analysis for Risk Modelling. (2021). Pesenti, Silvana M. In: Papers. RePEc:arx:papers:2107.01065. Full description at Econpapers || Download paper | |
2021 | Star-shaped acceptability indexes. (2021). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2110.08630. Full description at Econpapers || Download paper | |
2021 | Optimal Investment with Risk Controlled by Weighted Entropic Risk Measures. (2021). Xia, Jianming. In: Papers. RePEc:arx:papers:2112.02284. Full description at Econpapers || Download paper | |
2021 | Mean-Covariance Robust Risk Measurement. (2021). Filipovi, Damir ; Abadeh, Soroosh Shafieezadeh ; Nguyen, Viet Anh ; Kuhn, Daniel. In: Papers. RePEc:arx:papers:2112.09959. Full description at Econpapers || Download paper | |
2021 | Stochastic measure distortions induced by quantile processes for risk quantification and valuation. (2021). Peters, Gareth W ; Macrina, Andrea ; Brannelly, Holly. In: Papers. RePEc:arx:papers:2201.02045. Full description at Econpapers || Download paper | |
2022 | Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319. Full description at Econpapers || Download paper | |
2022 | Forecasting the distribution of long-horizon returns with time-varying volatility. (2022). Ho, Hwai-Chung. In: Papers. RePEc:arx:papers:2201.07457. Full description at Econpapers || Download paper | |
2022 | Tail Risk of Electricity Futures. (2022). Mayoral, Silvia ; Rodriguez, Rosa ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.01732. Full description at Econpapers || Download paper | |
2022 | A discussion of stochastic dominance and mean-CVaR optimal portfolio problems based on mean-variance-mixture models. (2022). Sayit, Hasanjan. In: Papers. RePEc:arx:papers:2202.02488. Full description at Econpapers || Download paper | |
2022 | Derivatives Risks as Costs in a One-Period Network Model. (2022). Bastide, Dorinel ; Tadese, Mekonnen ; Drapeau, Samuel ; Cr, St'Ephane. In: Papers. RePEc:arx:papers:2202.03248. Full description at Econpapers || Download paper | |
2022 | Probability equivalent level of Value at Risk and higher-order Expected Shortfalls. (2022). Barczy, Matyas ; L'aszl'o S"utH{o}, ; Ned, Fanni K. In: Papers. RePEc:arx:papers:2202.09770. Full description at Econpapers || Download paper | |
2022 | Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia. (2022). Roncalli, Thierry ; Kostyuchyk, Nazar ; Bruder, Benjamin. In: Papers. RePEc:arx:papers:2202.10721. Full description at Econpapers || Download paper | |
2022 | Sensitivity Measures Based on Scoring Functions. (2022). Fissler, Tobias ; Pesenti, Silvana M. In: Papers. RePEc:arx:papers:2203.00460. Full description at Econpapers || Download paper | |
2022 | Weighted-average quantile regression. (2022). Chetverikov, Denis ; Tsyvinski, Aleh ; Liu, Yukun. In: Papers. RePEc:arx:papers:2203.03032. Full description at Econpapers || Download paper | |
2022 | On a Stochastic Model of Diversification. (2022). Tselishchev, Mikhail ; Logvaneva, Maria. In: Papers. RePEc:arx:papers:2204.01284. Full description at Econpapers || Download paper | |
2020 | Equity risk versus retirement adequacy: asset allocation solutions for KiwiSaver. (2020). Bianchi, Robert J ; MacDonald, Kirsten L ; Drew, Michael E. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3851-3873. Full description at Econpapers || Download paper | |
2020 | Estimating portfolio risk for tail risk protection strategies. (2020). Lohre, Harald ; Happersberger, David ; Nolte, Ingmar. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146. Full description at Econpapers || Download paper | |
2020 | Risk Measures Based on Benchmark Loss Distributions. (2020). Munari, Cosimo ; Burzoni, Matteo ; Bignozzi, Valeria. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:2:p:437-475. Full description at Econpapers || Download paper | |
2020 | Risk functionals with convex level sets. (2020). Wei, Yunran ; Wang, Ruodu. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1337-1367. Full description at Econpapers || Download paper | |
2021 | Model risk in credit risk. (2021). luciano, elisa ; Semeraro, Patrizia ; Fontana, Roberto. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:176-202. Full description at Econpapers || Download paper | |
2021 | Intra?Horizon expected shortfall and risk structure in models with jumps. (2021). Vasiljevi, Nikola ; Mathys, Ludovic ; Farkas, Walter. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:772-823. Full description at Econpapers || Download paper | |
2021 | Bayes risk, elicitability, and the Expected Shortfall. (2021). Wang, Qiuqi ; Mao, Tiantian ; Embrechts, Paul. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1190-1217. Full description at Econpapers || Download paper | |
2022 | Mean??$\rho$ portfolio selection and ?$\rho$?arbitrage for coherent risk measures. (2022). Khan, Nazem ; Herdegen, Martin. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:1:p:226-272. Full description at Econpapers || Download paper | |
2020 | Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lpâ€optimization. (2020). STUPFLER, Gilles ; Girard, Stephane ; Gardes, Laurent. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:47:y:2020:i:3:p:922-949. Full description at Econpapers || Download paper | |
2022 | Nonparametric extreme conditional expectile estimation. (2022). Ussegliocarleve, Antoine ; Stupfler, Gilles ; Girard, Stephane. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:1:p:78-115. Full description at Econpapers || Download paper | |
2021 | Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution. (2021). Soleymani, Fazlollah ; Ahmed, Dilan ; Hasan, Hataw ; Ullah, Malik Zaka. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:402:y:2021:i:c:s0096300321001776. Full description at Econpapers || Download paper | |
2021 | Salience, systemic risk and spectral risk measures as capital requirements. (2021). Matyska, Branka. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s0165188921000208. Full description at Econpapers || Download paper | |
2021 | The time-varying risk of Italian GDP. (2021). Pacella, Claudia ; Busetti, Fabio ; delle Monache, Davide ; Caivano, Michele. In: Economic Modelling. RePEc:eee:ecmode:v:101:y:2021:i:c:s0264999321001115. Full description at Econpapers || Download paper | |
2022 | Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators. (2022). Storti, Giuseppe ; Gerlach, Richard ; Naimoli, Antonio. In: Economic Modelling. RePEc:eee:ecmode:v:107:y:2022:i:c:s026499932100290x. Full description at Econpapers || Download paper | |
2021 | A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors. (2021). Zoia, Maria Grazia ; Vacca, Gianmarco ; Quatto, Piero. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001443. Full description at Econpapers || Download paper | |
2021 | ExpectHill estimation, extreme risk and heavy tails. (2021). Stupfler, Gilles ; Girard, Stephane ; Daouia, Abdelaati. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:97-117. Full description at Econpapers || Download paper | |
2022 | Functional estimation of extreme conditional expectiles. (2022). Usseglio-Carleve, Antoine ; Stupfler, Gilles ; Girard, Stephane. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:131-158. Full description at Econpapers || Download paper | |
2020 | A generalization of the Aumann–Shapley value for risk capital allocation problems. (2020). De Waegenaere, Anja ; Norde, Henk ; Boonen, Tim J. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:1:p:277-287. Full description at Econpapers || Download paper | |
2020 | Optimal ordering policy for complementary components with partial backordering and emergency replenishment under spectral risk measure. (2020). Ou, Jinwen ; Li, Yanhai. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:2:p:538-549. Full description at Econpapers || Download paper | |
2020 | Beyond expected utility: Subjective risk aversion and optimal portfolio choice under convex shortfall risk measures. (2020). Kursten, Wolfgang ; Brandtner, Mario ; Rischau, Robert. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:3:p:1114-1126. Full description at Econpapers || Download paper | |
2021 | Price mediated contagion through capital ratio requirements with VWAP liquidation prices. (2021). Feinstein, Zachary ; Banerjee, Tathagata. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:3:p:1147-1160. Full description at Econpapers || Download paper | |
2022 | Replenishment decisions for complementary components with supply capacity uncertainty under the CVaR criterion. (2022). Ou, Jinwen ; Li, Yanhai. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:3:p:904-916. Full description at Econpapers || Download paper | |
2022 | Multi-market portfolio optimization with conditional value at risk. (2022). Brotcorne, Luce ; Labbe, Martine ; Nasini, Stefano. In: European Journal of Operational Research. RePEc:eee:ejores:v:300:y:2022:i:1:p:350-365. Full description at Econpapers || Download paper | |
2020 | On the stability of portfolio selection models. (2020). Tardella, Fabio ; Ricci, Jacopo Maria ; Mottura, Carlo Domenico ; Mango, Fabiomassimo ; Cesarone, Francesco. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:210-234. Full description at Econpapers || Download paper | |
2020 | Tail risk of electricity futures. (2020). Rodriguez, Rosa ; Pea, Juan Ignacio ; Mayoral, Silvia. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302267. Full description at Econpapers || Download paper | |
2020 | Liquidity, implied volatility and tail risk: A comparison of liquidity measures. (2020). Righi, Marcelo Brutti ; Ramos, Henrique Pinto. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301071. Full description at Econpapers || Download paper | |
2020 | Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall. (2020). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521917301801. Full description at Econpapers || Download paper | |
2021 | Predicting stock returns: A risk measurement perspective. (2021). Wen, Fenghua ; Kang, Jie ; Dai, Zhifeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000193. Full description at Econpapers || Download paper | |
2022 | Risk measures induced by efficient insurance contracts. (2022). Zitikis, Riardas ; Wang, Ruodu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:56-65. Full description at Econpapers || Download paper | |
2020 | Convex risk functionals: Representation and applications. (2020). Wang, Ruodu ; Lemieux, Christiane ; Cai, Jun ; Liu, Fangda. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:90:y:2020:i:c:p:66-79. Full description at Econpapers || Download paper | |
2020 | On sums of two counter-monotonic risks. (2020). Marceau, Etienne ; Gadoury, Simon-Pierre ; Cossette, Helene ; Chaoubi, Ihsan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:92:y:2020:i:c:p:47-60. Full description at Econpapers || Download paper | |
2020 | Relative bound and asymptotic comparison of expectile with respect to expected shortfall. (2020). Drapeau, Samuel ; Tadese, Mekonnen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:387-399. Full description at Econpapers || Download paper | |
2020 | On a robust risk measurement approach for capital determination errors minimization. (2020). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:199-211. Full description at Econpapers || Download paper | |
2020 | Optimal risk-sharing across a network of insurance companies. (2020). Smirnow, Alexander ; Kull, Andreas ; Farkas, Walter ; Ettlin, Nicolas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:39-47. Full description at Econpapers || Download paper | |
2021 | Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002077. Full description at Econpapers || Download paper | |
2022 | Adjusted Expected Shortfall. (2022). Wang, Ruodu ; Munari, Cosimo ; Burzoni, Matteo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002491. Full description at Econpapers || Download paper | |
2022 | Sensitivity-implied tail-correlation matrices. (2022). Schlutter, Sebastian ; Paulusch, Joachim. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002843. Full description at Econpapers || Download paper | |
2021 | Aggregation of opinions and risk measures. (2021). amarante, massimiliano ; Ghossoub, Mario. In: Journal of Economic Theory. RePEc:eee:jetheo:v:196:y:2021:i:c:s0022053121001277. Full description at Econpapers || Download paper | |
2021 | Semi-parametric estimation of multivariate extreme expectiles. (2021). Mailhot, Melina ; di Bernardino, Elena ; Beck, Nicholas. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:184:y:2021:i:c:s0047259x21000361. Full description at Econpapers || Download paper | |
2022 | Financial Risk Meter FRM based on Expectiles. (2022). Hardle, Wolfgang Karl ; Li, Yingxing ; Lu, Meng-Jou ; Ren, Rui. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:189:y:2022:i:c:s0047259x21001597. Full description at Econpapers || Download paper | |
2021 | Robust estimation of conditional risk measures using machine learning algorithm for commodity futures prices in the presence of outliers. (2021). Simkins, B J ; Popova, I ; Byers, J W. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:24:y:2021:i:c:s2405851321000088. Full description at Econpapers || Download paper | |
2021 | Risk-aversion in data envelopment analysis models with diversification. (2021). Branda, Martin ; Adam, Luka. In: Omega. RePEc:eee:jomega:v:102:y:2021:i:c:s0305048320306927. Full description at Econpapers || Download paper | |
2021 | Short-term physician rescheduling model with feature-driven demand for mental disorders outpatients. (2021). Xu, Liang ; Zhang, Hui ; Wang, Fan. In: Omega. RePEc:eee:jomega:v:105:y:2021:i:c:s0305048321001286. Full description at Econpapers || Download paper | |
2021 | Multidimensional skin in the game. (2021). Koch, Florian ; Gurtler, Marc. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:97:y:2021:i:c:s030440682100104x. Full description at Econpapers || Download paper | |
2020 | Increasing the risk management effectiveness from higher accuracy: A novel non-parametric method. (2020). Lu, Dong ; Li, Yong ; Ding, Ashley ; Huang, Jinbo. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x20300263. Full description at Econpapers || Download paper | |
2021 | Global sensitivity analysis for stochastic simulators based on generalized lambda surrogate models. (2021). Sudret, Bruno ; Zhu, Xujia. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:214:y:2021:i:c:s0951832021003379. Full description at Econpapers || Download paper | |
2021 | Estimating the market risk of clean energy technologies companies using the expected shortfall approach. (2021). Pradhan, Ashis ; Tiwari, Aviral Kumar. In: Renewable Energy. RePEc:eee:renene:v:177:y:2021:i:c:p:95-100. Full description at Econpapers || Download paper | |
2020 | On the investment credentials of Bitcoin: A cross-currency perspective. (2020). Bedi, Prateek ; Nashier, Tripti. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919301722. Full description at Econpapers || Download paper | |
2021 | Almost sure invariance principle for the Kantorovich distance between the empirical and the marginal distributions of strong mixing sequences. (2021). Merlevede, Florence ; Dedecker, Jerome. In: Statistics & Probability Letters. RePEc:eee:stapro:v:171:y:2021:i:c:s0167715220302947. Full description at Econpapers || Download paper | |
2020 | Supporting a financially constrained supplier under spectral risk measures: The efficiency of buyer lending. (2020). Gu, Chaocheng ; Li, Yanhai ; Ou, Jinwen. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:136:y:2020:i:c:s1366554519312700. Full description at Econpapers || Download paper | |
2020 | A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets. (2020). Perote, Javier ; Mora-Valencia, Andrés ; Velasquez-Gaviria, Daniel. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:11:p:2805-:d:366071. Full description at Econpapers || Download paper | |
2022 | Risk Contagion between Global Commodities from the Perspective of Volatility Spillover. (2022). Ng, Pin ; Zhao, Lili ; Pan, QI ; Shen, Hong. In: Energies. RePEc:gam:jeners:v:15:y:2022:i:7:p:2492-:d:781639. Full description at Econpapers || Download paper | |
2020 | Modeling Portfolio Credit Risk Taking into Account the Default Correlations Using a Copula Approach: Implementation to an Italian Loan Portfolio. (2020). Di Clemente, Annalisa. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:129-:d:372631. Full description at Econpapers || Download paper | |
2021 | Return Based Risk Measures for Non-Normally Distributed Returns: An Alternative Modelling Approach. (2021). Murahwa, Yvonne T ; Samunderu, Eyden. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:540-:d:676017. Full description at Econpapers || Download paper | |
2021 | Analysis and Forecasting of Risk in Count Processes. (2021). Homburg, Annika ; Gob, Rainer ; Alwan, Layth C ; Frahm, Gabriel ; Weiss, Christian H. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:4:p:182-:d:537533. Full description at Econpapers || Download paper | |
2022 | Best-Arm Identification Using Extreme Value Theory Estimates of the CVaR. (2022). Yu, Jiayuan ; Godin, Frederic ; Troop, Dylan. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:4:p:172-:d:789276. Full description at Econpapers || Download paper | |
2020 | . Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2001 | Expected Shortfall as a Tool for Financial Risk Management In: Papers. [Full Text][Citation analysis] | paper | 36 |
2002 | On the coherence of Expected Shortfall In: Papers. [Full Text][Citation analysis] | paper | 468 |
2002 | On the coherence of expected shortfall.(2002) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 468 | article | |
2001 | Expected Shortfall: a natural coherent alternative to Value at Risk In: Papers. [Full Text][Citation analysis] | paper | 32 |
2001 | Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem In: Papers. [Full Text][Citation analysis] | paper | 5 |
2002 | Portfolio Optimization with Spectral Measures of Risk In: Papers. [Full Text][Citation analysis] | paper | 13 |
2002 | Spectral measures of risk: A coherent representation of subjective risk aversion In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 292 |
2007 | Coherent measures of risk in everyday market practice In: Quantitative Finance. [Full Text][Citation analysis] | article | 18 |
2008 | Liquidity risk theory and coherent measures of risk In: Quantitative Finance. [Full Text][Citation analysis] | article | 47 |
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