Carlo Acerbi : Citation Profile

Are you Carlo Acerbi?

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

7

H index

7

i10 index

772

Citations

RESEARCH PRODUCTION:

4

Articles

5

Papers

RESEARCH ACTIVITY:

   7 years (2001 - 2008). See details.
   Cites by year: 110
   Journals where Carlo Acerbi has often published
   Relations with other researchers
   Recent citing documents: 83.    Total self citations: 5 (0.64 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pac74
   Updated: 2020-11-21    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 (25)

Kóczy, László (15)

cotter, john (13)

Herings, P. Jean-Jacques (13)

Tasche, Dirk (11)

Kondor, Imre (10)

Xu, Mingxin (7)

Degiannakis, Stavros (6)

Fabozzi, Frank (6)

Guillen, Montserrat (6)

Pintér, Miklós (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 (2020 and 2019)

YearTitle of citing document
2019Sectoral Risks in Vietnam and Malaysia A Comparative Analysis. (2019). Vo, Duc ; Pham, Trung Vu-Thanh ; van Tuan, Quang. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:1:p:62-87.

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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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2019Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach. (2017). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas. In: Papers. RePEc:arx:papers:1610.07694.

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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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2019Kernel Based Estimation of Spectral Risk Measures. (2019). Sen, Rituparna ; Biswas, Suparna . In: Papers. RePEc:arx:papers:1903.03304.

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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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2019Is being `Robust beneficial?: A perspective from the Indian market. (2019). Chakrabarty, Siddhartha P ; Oberoi, Shashank ; Girach, Mohammed Bilal. In: Papers. RePEc:arx:papers:1908.05002.

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2019Dual Representation of Expectile based Expected Shortfall and Its Properties. (2019). Tadese, Mekonnen ; Drapeau, Samuel . In: Papers. RePEc:arx:papers:1911.03245.

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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, Ruodu ; Pesenti, Silvana. In: Papers. RePEc:arx:papers:2011.04889.

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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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2019Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR. (2019). Gao, Jianjun ; Cui, Xiangyu ; Li, Duan ; Strub, Moris S. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301502.

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2019Reverse sensitivity testing: What does it take to break the model?. (2019). Pesenti, Silvana M ; Tsanakas, Andreas ; Millossovich, Pietro. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:2:p:654-670.

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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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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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2019On a family of risk measures based on proportional hazards models and tail probabilities. (2019). Sordo, Miguel A ; Psarrakos, Georgios. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:232-240.

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2019On a family of risk measures based on largest claims. (2019). Sordo, M A ; Pigueiras, G ; Castao-Martinez, A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:92-97.

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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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2019Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility. (2019). Brigo, Damiano ; Armstrong, John. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:122-135.

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2019Expected shortfall and portfolio management in contagious markets. (2019). nicolosi, marco ; Kokholm, Thomas ; Buccioli, Alice. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:102:y:2019:i:c:p:100-115.

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2019Model risk of expected shortfall. (2019). Zhang, Ning ; Lazar, Emese. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:74-93.

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2019Estimation of capital requirements in downturn conditions via the CBV model: Evidence from the Greek banking sector. (2019). Papalamprou, Konstantinos ; Antoniou, Paschalis. In: Operations Research Perspectives. RePEc:eee:oprepe:v:6:y:2019:i:c:s2214716017301847.

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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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2019A Generalized Error Distribution Copula-based method for portfolios risk assessment. (2019). Cerqueti, Roy ; Giacalone, Massimiliano ; Panarello, Demetrio. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:687-695.

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2019Interconnectedness and systemic risk network of Chinese financial institutions: A LASSO-CoVaR approach. (2019). He, Yaoyao ; Jiang, Cuixia ; Li, Mengting ; Xu, Qifa. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119312609.

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2019Choosing expected shortfall over VaR in Basel III using stochastic dominance. (2019). McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio ; Maasoumi, Esfandiar . In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:95-113.

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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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2019CVaR Regression Based on the Relation between CVaR and Mixed-Quantile Quadrangles. (2019). Uryasev, Stan ; Kuzmenko, Viktor ; Golodnikov, Alex. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:107-:d:242988.

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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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2019Bigger Is Not Always Safer: A Critical Analysis of the Subadditivity Assumption for Coherent Risk Measures. (2019). Rau-Bredow, Hans. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:91-:d:260962.

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2019A New Heavy Tailed Class of Distributions Which Includes the Pareto. (2019). Meenakshi, Mareeswaran ; Calderin-Ojeda, Enrique ; Bhati, Deepesh. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:99-:d:269272.

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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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2019Risk Measurement. (2019). Hassani, Bertrand K ; Guegan, Dominique. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-02119256.

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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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2019The risk-based core for cooperative games with uncertainty. (2019). Kóczy, László. In: IEHAS Discussion Papers. RePEc:has:discpr:1906.

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2019Basel IV A gloomy future for Expected Shortfall risk models. Evidence from the Mexican Stock Market. (2019). Rossignolo, Adrian F. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:14:y:2019:i:pnea:p:559-582.

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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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2019Implied risk aversion: an alternative rating system for retail structured products. (2019). Seifried, F T ; Sass, J ; Geissel, S ; Fink, H. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:3:d:10.1007_s11147-018-9151-0.

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2019Abszolút hozamú befektetési alapok teljesítményének értékelése - a teljesítménymanipulálás kimutatása. (2019). Racz, David Andor. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1856.

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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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2019A Breakthrough Idea in Risk Measure Validation – Is the Way Paved for an Effective Expected Shortfall Backtest?. (2019). Bugar, Gyongyi . In: Financial and Economic Review. RePEc:mnb:finrev:v:18:y:2019:i:4:p:130-145.

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2019The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades. (2019). Fantazzini, Dean ; Shangina, Tamara. In: MPRA Paper. RePEc:pra:mprapa:95992.

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2019The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades. (2019). Fantazzini, Dean ; Shangina, Tamara. In: Applied Econometrics. RePEc:ris:apltrx:0372.

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2019Computation of the corrected Cornish–Fisher expansion using the response surface methodology: application to VaR and CVaR. (2019). Maillard, Didier ; Barthelemy, Fabrice ; Amedee-Manesme, Charles-Olivier. In: Annals of Operations Research. RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2792-4.

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2019A composition between risk and deviation measures. (2019). Righi, Marcelo Brutti. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2913-0.

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2019Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures. (2019). Kaucic, Massimiliano ; Mirzazadeh, Mohmmad ; Moradi, Mojtaba . In: Financial Innovation. RePEc:spr:fininn:v:5:y:2019:i:1:d:10.1186_s40854-019-0140-6.

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2019Dual utilities on risk aggregation under dependence uncertainty. (2019). Yu, Xun ; Xu, Zuo Quan ; Wang, Ruodu. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:4:d:10.1007_s00780-019-00399-y.

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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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2019Backtesting Extreme Value Theory models of expected shortfall. (2019). Garcia-Jorcano, Laura ; Novales, Alfonso. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1924.

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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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2019Supply Chain Coordination with a Risk-Averse Retailer and a Combined Buy-Back and Revenue Sharing Contract. (2019). Chiong, Raymond ; Devlin, Anna G ; Zhang, Yuli ; Song, Shiji ; Zhao, Han. In: Asia-Pacific Journal of Operational Research (APJOR). RePEc:wsi:apjorx:v:36:y:2019:i:05:n:s0217595919500283.

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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). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. 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.
[Full Text][Citation analysis]		paper32
2002On the coherence of Expected Shortfall In: Papers.
[Full Text][Citation analysis]		paper398
2002On the coherence of expected shortfall.(2002) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 398		article
2001Expected Shortfall: a natural coherent alternative to Value at Risk In: Papers.
[Full Text][Citation analysis]		paper32
2001Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem In: Papers.
[Full Text][Citation analysis]		paper5
2002Portfolio Optimization with Spectral Measures of Risk In: Papers.
[Full Text][Citation analysis]		paper13
2002Spectral measures of risk: A coherent representation of subjective risk aversion In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article237
2007Coherent measures of risk in everyday market practice In: Quantitative Finance.
[Full Text][Citation analysis]		article16
2008Liquidity risk theory and coherent measures of risk In: Quantitative Finance.
[Full Text][Citation analysis]		article39

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