Carlo Acerbi : Citation Profile


Are you Carlo Acerbi?

Budapesti Corvinus Egyetem (50% share)
University of Essex (50% share)

7

H index

7

i10 index

784

Citations

RESEARCH PRODUCTION:

4

Articles

5

Papers

RESEARCH ACTIVITY:

   7 years (2001 - 2008). See details.
   Cites by year: 112
   Journals where Carlo Acerbi has often published
   Relations with other researchers
   Recent citing documents: 57.    Total self citations: 5 (0.63 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pac74
   Updated: 2021-01-16    RAS profile: 2014-08-08    
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Relations with other researchers


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:

Csóka, Péter (27)

cotter, john (13)

Herings, P. Jean-Jacques (13)

Tasche, Dirk (11)

Kóczy, László (11)

Kondor, Imre (10)

Xu, Mingxin (7)

Pintér, Miklós (6)

Guillen, Montserrat (6)

Degiannakis, Stavros (6)

Fabozzi, Frank (6)

Cites to:

Tasche, Dirk (9)

Artzner, Philippe (4)

Jarrow, Robert (1)

Main data


Where Carlo Acerbi has published?


Journals with more than one article published# docs
Quantitative Finance2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org5

Recent works citing Carlo Acerbi (2021 and 2020)


YearTitle of citing document
2020Risk 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.

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2020An 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.

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2020On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

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2020A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2020Statistical arbitrage of coherent risk measures. (2019). Brigo, Damiano ; Armstrong, John. In: Papers. RePEc:arx:papers:1902.10015.

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2020Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall. (2019). Tadese, Mekonnen ; Drapeau, Samuel. In: Papers. RePEc:arx:papers:1906.09729.

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2020The Impact of the Choice of Risk and Dispersion Measure on Procyclicality. (2020). Kratz, Marie ; Brautigam, Marcel. In: Papers. RePEc:arx:papers:2001.00529.

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2020A 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.

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2020On 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.

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2020Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps. (2020). Vasiljevi, Nikola ; Mathys, Ludovic ; Farkas, Walter. In: Papers. RePEc:arx:papers:2002.04675.

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2020Inf-convolution and optimal risk sharing with arbitrary sets of risk measures. (2020). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2003.05797.

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2020Convex Risk Measures based on Divergence. (2020). Pichler, Alois ; Dommel, Paul. In: Papers. RePEc:arx:papers:2003.07648.

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2020Computation of Expected Shortfall by fast detection of worst scenarios. (2020). Virrion, Benjamin ; Reghai, Adil ; Bouchard, Bruno. In: Papers. RePEc:arx:papers:2005.12593.

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2020Adjusted Expected Shortfall. (2020). Munari, Cosimo ; Burzoni, Matteo ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2007.08829.

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2020Pricing 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.

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2020Dependent Conditional Value-at-Risk for Aggregate Risk Models. (2020). Syuhada, Khreshna ; Josaphat, Bony. In: Papers. RePEc:arx:papers:2009.02904.

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2020A Dual Characterisation of Regulatory Arbitrage for Coherent Risk Measures. (2020). Khan, Nazem ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2009.05498.

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2020Encompassing 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.

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2020Optimizing distortion riskmetrics with distributional uncertainty. (2020). Wang, Qiuqi ; Pesenti, Silvana. In: Papers. RePEc:arx:papers:2011.04889.

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2020Portfolio Optimisation within a Wasserstein Ball. (2020). Jaimungal, Sebastian ; Pesenti, Silvana. In: Papers. RePEc:arx:papers:2012.04500.

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2020Minimizing Spectral Risk Measures Applied to Markov Decision Processes. (2020). Glauner, Alexander ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2012.04521.

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2020Equity risk versus retirement adequacy: asset allocation solutions for KiwiSaver. (2020). Drew, Michael E ; Bianchi, Robert J ; MacDonald, Kirsten L. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3851-3873.

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2020Estimating 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.

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2020Risk 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.

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2020Risk 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.

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2020Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp‐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.

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2020A 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.

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2020Optimal 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.

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2020Beyond 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.

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2020Tail 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.

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2020Liquidity, 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.

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2020Risk 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.

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2020Convex 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.

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2020On 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.

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2020Relative 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.

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2020On 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.

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2020Optimal 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.

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2020Increasing 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.

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2020On 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.

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2020Supporting 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.

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2020A 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.

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2020Modeling 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.

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2020CARL and His POT: Measuring Risks in Commodity Markets. (2020). Algieri, Bernardina ; Leccadito, Arturo. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:27-:d:332245.

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2020Computation of Expected Shortfall by fast detection of worst scenarios. (2020). Virrion, Benjamin ; Reghai, Adil ; Bouchard, Bruno. In: Working Papers. RePEc:hal:wpaper:hal-02619589.

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2020Backtesting Expected Shortfall via Multi-Quantile Regression. (2019). Leymarie, Jérémy ; Couperier, Ophelie. In: Working Papers. RePEc:hal:wpaper:halshs-01909375.

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2020Option-Implied Intrahorizon Value at Risk. (2020). Leippold, Markus ; Vasiljevi, Nikola. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:1:p:397-414.

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2020Characterization, Robustness, and Aggregation of Signed Choquet Integrals. (2020). Willmot, Gordon E ; Wei, Yunran ; Wang, Ruodu. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:45:y:2020:i:3:p:993-1015.

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2020Risk-Constrained Kelly Portfolios Under Alpha-Stable Laws. (2020). Härdle, Wolfgang ; Hardle, Wolfgang K ; Wesselhofft, Niels. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:3:d:10.1007_s10614-019-09913-y.

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2020A piaci likviditás és a szabályozás kapcsolatának vizsgálata általános egyensúlyelméleti modellkeretben. (2020). Hever, Judit. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1915.

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2020On Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors∗. (2020). Broda, Simon ; Arismendi Zambrano, Juan ; Arismendi-Zambrano, Juan Carlos. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n302-20.pdf.

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2020Spectral risk measure of holding stocks in the long run. (2020). Szabó, Dávid ; Csóka, Péter ; Szabo, David Zoltan ; Bihary, Zsolt. In: Annals of Operations Research. RePEc:spr:annopr:v:295:y:2020:i:1:d:10.1007_s10479-020-03678-6.

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2020Qualitative robustness of set-valued value-at-risk. (2020). Mastrogiacomo, Elisa ; Crespi, Giovanni Paolo. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:91:y:2020:i:1:d:10.1007_s00186-020-00707-9.

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2020A robust behavioral portfolio selection: model with investor attitudes and biases. (2020). Seifi, Abbas ; Esfahanipour, Akbar ; Momen, Omid. In: Operational Research. RePEc:spr:operea:v:20:y:2020:i:1:d:10.1007_s12351-017-0330-9.

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2020Nonparametric kernel estimation of CVaR under $$\alpha $$α-mixing sequences. (2020). Luo, Zhongde. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:2:d:10.1007_s00362-017-0952-2.

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2020The market quality of commodity futures markets. (2020). Xie, Yuchi ; Tse, Yiuman ; Luo, Qian ; Liu, Qingfu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:11:p:1751-1766.

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2020MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING. (2020). Schmidt, Wolfgang M ; Jokhadze, Valeriane. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:02:n:s0219024920500120.

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2020Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary. (2020). Liu, Xiaochun ; Dimitriadis, Timo ; Schnaitmann, Julie. In: Hohenheim Discussion Papers in Business, Economics and Social Sciences. RePEc:zbw:hohdps:112020.

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Works by Carlo Acerbi:


YearTitleTypeCited
2001Expected Shortfall as a Tool for Financial Risk Management In: Papers.
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paper33
2002On the coherence of Expected Shortfall In: Papers.
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paper403
2002On the coherence of expected shortfall.(2002) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 403
article
2001Expected Shortfall: a natural coherent alternative to Value at Risk In: Papers.
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paper32
2001Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem In: Papers.
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paper5
2002Portfolio Optimization with Spectral Measures of Risk In: Papers.
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paper13
2002Spectral measures of risk: A coherent representation of subjective risk aversion In: Journal of Banking & Finance.
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article242
2007Coherent measures of risk in everyday market practice In: Quantitative Finance.
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article16
2008Liquidity risk theory and coherent measures of risk In: Quantitative Finance.
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article40

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