Carlo Acerbi : Citation Profile

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

8

H index

7

i10 index

1283

Citations

RESEARCH PRODUCTION:

5

Articles

5

Papers

1

Chapters

RESEARCH ACTIVITY:

   22 years (2001 - 2023). See details.
   Cites by year: 58
   Journals where Carlo Acerbi has often published
   Relations with other researchers
   Recent citing documents: 78.    Total self citations: 6 (0.47 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pac74
   Updated: 2025-03-08    RAS profile: 2024-05-06    
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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 (46)

Righi, Marcelo (32)

Herings, P. Jean-Jacques (18)

Kóczy, László (15)

Kondor, Imre (14)

cotter, john (13)

Härdle, Wolfgang (12)

Tasche, Dirk (11)

STUPFLER, Gilles (10)

Mahmoud, Ola (8)

Barthélémy, Fabrice (7)

Cites to:

Tasche, Dirk (10)

Artzner, Philippe (5)

Jarrow, Robert (1)

Schied, Alexander (1)

Main data

Production by document typechapterarticlepaper2001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202302.557.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published20012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023051015Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year2001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202305001,0001,500Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 8Most cited documents1234567890250500750Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025030510h-index Highcharts.comExport to raster or vector imagePrint the chart

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 (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Star-shaped acceptability indexes. (2021). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2110.08630.

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2024Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319.

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2025A 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.

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2024Learning Value-at-Risk and Expected Shortfall. (2022). Saadeddine, B ; Nguyen, Hoang-Dung ; Gobet, E ; Cr, S ; Barrera, D. In: Papers. RePEc:arx:papers:2209.06476.

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2024The limitations of comonotonic additive risk measures: a literature review. (2022). de Oliveira, Eduardo ; Righi, Marcelo Brutti ; Santos, Samuel Solgon. In: Papers. RePEc:arx:papers:2212.13864.

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2024Uniform Pessimistic Risk and Optimal Portfolio. (2023). Jeon, Jong-June ; Hong, Sungchul. In: Papers. RePEc:arx:papers:2303.07158.

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2024A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2023). Louzi, Azar ; Frikha, Noufel ; Cr, St'Ephane. In: Papers. RePEc:arx:papers:2304.01207.

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2024Differential Sensitivity in Discontinuous Models. (2023). Tsanakas, Andreas ; Millossovich, Pietro ; Pesenti, Silvana M. In: Papers. RePEc:arx:papers:2310.06151.

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2024Derivatives of Risk Measures. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2404.09646.

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2024Extremal cases of distortion risk measures with partial information. (2024). Yin, Chuancun ; Balakrishnan, Narayanaswamy ; Zhao, Mengshuo. In: Papers. RePEc:arx:papers:2404.13637.

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2024Optimal nonparametric estimation of the expected shortfall risk. (2024). Eckstein, Stephan ; Bartl, Daniel. In: Papers. RePEc:arx:papers:2405.00357.

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2024Some properties of Euler capital allocation. (2024). Holden, Lars. In: Papers. RePEc:arx:papers:2405.00606.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

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2024Mirror Descent Algorithms for Risk Budgeting Portfolios. (2024). Frikha, Noufel ; Cetingoz, Adil Rengim ; Iglesias, Martin Arnaiz. In: Papers. RePEc:arx:papers:2411.12323.

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2024Comparisons of multivariate contribution measures of risk contagion and their applications in cryptocurrency market. (2024). Pu, Tong ; Li, Junxue ; Wen, Limin ; Zhang, Yiying. In: Papers. RePEc:arx:papers:2411.13384.

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2024Robust distortion risk measures. (2024). Vanduffel, Steven ; Bernard, Carole ; Pesenti, Silvana M. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:774-818.

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2024Risk Budgeting portfolios: Existence and computation. (2024). Guéant, Olivier ; Guant, Olivier ; Fermanian, Jeandavid ; Cetingoz, Adil Rengim. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:896-924.

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2024.

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2024Compound Poisson–Lindley process with Sarmanov dependence structure and its application for premium-based spectral risk forecasting. (2024). Hakim, Arief ; Tjahjono, Venansius ; Syuhada, Khreshna. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:467:y:2024:i:c:s0096300323006616.

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2024Efficient and robust optimal design for quantile regression based on linear programming. (2024). Uryasev, Stan ; Kouri, Drew P ; Peng, Cheng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:192:y:2024:i:c:s0167947323002037.

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2024Robust portfolio selection with subjective risk aversion under dependence uncertainty. (2024). Li, Yuhan ; Su, Xiaoshan. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999324000233.

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2024Is there a dark side to financial inclusion? Understanding the relationship between financial inclusion and market risk. (2024). Muller, Fernanda Maria ; Righi, Marcelo Brutti ; Foguesatto, Cristian Rogerio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000652.

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2024Retire: Robust expectile regression in high dimensions. (2024). Zhou, Wen-Xin ; Wang, Zian ; Tan, Kean Ming ; Man, Rebeka. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623001537.

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2024A theory of multivariate stress testing. (2024). Wang, Ruodu ; Millossovich, Pietro ; Tsanakas, Andreas. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:3:p:851-866.

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2024Assessing the US financial sector post three bank collapses: Signals from fintech and financial sector ETFs. (2024). Sensoy, Ahmet ; Pradhan, H K ; Banerjee, Ameet Kumar ; Goodell, John W. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005112.

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2024VaR and ES forecasting via recurrent neural network-based stateful models. (2024). Lazar, Emese ; Nakata, Keiichi ; Qiu, Zhiguo. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000346.

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2024Do ESG ETFs provide downside risk protection during Covid-19? Evidence from forecast combination models. (2024). Huang, Yujun. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002527.

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2024Portfolio optimization with transfer entropy constraints. (2024). Ardakani, Omid M. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005763.

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2024Stressing dynamic loss models. (2024). Jaimungal, Sebastian ; Pesenti, Silvana M ; Kroell, Emma. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:56-78.

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2024Adjusted higher-order expected shortfall. (2024). Hu, Taizhong ; Zou, Zhenfeng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:1-12.

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2024Worst-case risk with unspecified risk preferences. (2024). Liu, Haiyan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:235-248.

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2024Inter-order relations between equivalence for Lp-quantiles of the Students t distribution. (2024). Petrella, Lea ; Merlo, Luca ; Bignozzi, Valeria. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:44-50.

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2024Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301.

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2024Risk preferences, newsvendor orders and supply chain coordination using the Mean-CVaR model. (2024). Silbermayr, Lena ; Kischka, Peter ; Jammernegg, Werner. In: International Journal of Production Economics. RePEc:eee:proeco:v:270:y:2024:i:c:s0925527324000288.

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2024Performance of crypto-Forex portfolios based on intraday data. (2024). Lopez, Raquel ; Esparcia, Carlos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000096.

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2024A note on the induction of comonotonic additive risk measures from acceptance sets. (2024). Horta, Eduardo ; Righi, Marcelo B ; Moresco, Marlon R ; Santos, Samuel S. In: Statistics & Probability Letters. RePEc:eee:stapro:v:208:y:2024:i:c:s0167715224000130.

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2024A two-step approach for deploying heterogeneous vessels and designing reliable schedule in liner shipping services. (2024). Zheng, Jianfeng ; Yang, Hualong ; Zhao, Shuaiqi ; Li, Dechang. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:182:y:2024:i:c:s1366554524000061.

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2025Historical Simulation Systematically Underestimates the Expected Shortfall. (2025). Garca-Risueo, Pablo. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:1:p:34-:d:1567358.

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2025.

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2024A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2023). Louzi, Azar ; Frikha, Noufel ; Crepey, Stephane. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-04037328.

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2024Fairness of Ratemaking for Catastrophe Insurance: Lessons from Machine Learning. (2024). Xu, Heng ; Zhang, Nan. In: Information Systems Research. RePEc:inm:orisre:v:35:y:2024:i:2:p:469-488.

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2024Which User-Friendly Model is the Best for BASEL-III? An Emerging Market Study. (2024). Lalon, Raad ; Abedin, Mohammad Zoynul ; Mozumder, Sharif ; Hossain, Amjad. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-023-10545-6.

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2024Herausforderungen des finanziellen Risikomanagements: Eine empirische Untersuchung des Value at Risk-Ansatzes in Stresssituationen. (2024). Barz, Till ; Nastansky, Andreas. In: Statistische Diskussionsbeiträge. RePEc:pot:statdp:57.

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2024Equity Price Risk of Commercial Banks in India. (2024). Rout, Bhabani Sankar ; Das, Nupur Moni. In: Arthaniti: Journal of Economic Theory and Practice. RePEc:sae:artjou:v:23:y:2024:i:2:p:179-201.

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2024An explorative analysis of sentiment impact on S&P 500 components returns, volatility and downside risk. (2024). Patacca, Marco ; Fig-Talamanca, Gianna. In: Annals of Operations Research. RePEc:spr:annopr:v:342:y:2024:i:3:d:10.1007_s10479-022-05129-w.

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2025Tail expectile-VaR estimation in the semiparametric Generalized Pareto model. (2025). Stupfler, Gilles ; Nemouchi, Boutheina ; Daouia, Abdelaati ; Abbas, Yasser. In: TSE Working Papers. RePEc:tse:wpaper:130105.

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2024A comparison of Range Value at Risk (RVaR) forecasting models. (2024). Santos, Samuel Solgon ; Gossling, Thalles Weber ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:509-543.

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Works by Carlo Acerbi:

Year  ↓Title  ↓Type  ↓Cited  ↓
2001Expected Shortfall as a Tool for Financial Risk Management In: Papers.
[Full Text][Citation analysis]		paper54
2002On the coherence of Expected Shortfall In: Papers.
[Full Text][Citation analysis]		paper577
2002On the coherence of expected shortfall.(2002) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 577		article
2001Expected Shortfall: a natural coherent alternative to Value at Risk In: Papers.
[Full Text][Citation analysis]		paper199
2002Expected Shortfall: A Natural Coherent Alternative to Value at Risk.(2002) In: Economic Notes.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 199		article
2001Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem In: Papers.
[Full Text][Citation analysis]		paper8
2002Portfolio Optimization with Spectral Measures of Risk In: Papers.
[Full Text][Citation analysis]		paper18
2002Spectral measures of risk: A coherent representation of subjective risk aversion In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article355
2007Coherent measures of risk in everyday market practice In: Quantitative Finance.
[Full Text][Citation analysis]		article22
2008Liquidity risk theory and coherent measures of risk In: Quantitative Finance.
[Full Text][Citation analysis]		article50
2023Backtestability and the Ridge Backtest In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0

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