11
H index
13
i10 index
1062
Citations
Government of Switzerland | 11 H index 13 i10 index 1062 Citations RESEARCH PRODUCTION: 7 Articles 23 Papers 1 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Dirk Tasche. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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JRFM | 2 |
Journal of Banking & Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 22 |
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2021 | Robustness in the Optimization of Risk Measures. (2019). Wang, Ruodu ; Schied, Alexander ; Embrechts, Paul. In: Papers. RePEc:arx:papers:1809.09268. 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 | |
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 | Avoiding zero probability events when computing Value at Risk contributions: a Malliavin calculus approach. (2020). Targino, Rodrigo ; Saporito, Yuri F. In: Papers. RePEc:arx:papers:2004.13235. Full description at Econpapers || Download paper | |
2021 | Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868. Full description at Econpapers || Download paper | |
2021 | Non-Extensive Value-at-Risk Estimation During Times of Crisis. (2020). Tehrani, Reza ; Asadi, Nazanin ; Namaki, Ali ; Hajihasani, Ahmad. In: Papers. RePEc:arx:papers:2005.09036. 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 | |
2022 | Portfolio Optimisation within a Wasserstein Ball. (2020). Jaimungal, Sebastian ; Pesenti, Silvana. In: Papers. RePEc:arx:papers:2012.04500. Full description at Econpapers || Download paper | |
2022 | Parametric measures of variability induced by risk measures. (2020). Fadina, Tolulope ; Bellini, Fabio ; Wei, Yunran ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2012.05219. Full description at Econpapers || Download paper | |
2021 | Assessment of a failure prediction model in the energy sector: a multicriteria discrimination approach with Promethee based classification. (2021). Angilella, Silvia ; Pappalardo, Maria Rosaria. In: Papers. RePEc:arx:papers:2102.07656. Full description at Econpapers || Download paper | |
2022 | Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783. Full description at Econpapers || Download paper | |
2021 | Optimizing Expected Shortfall under an $\ell_1$ constraint -- an analytic approach. (2021). Caccioli, Fabio ; Kondor, Imre ; Papp, G'Abor. In: Papers. RePEc:arx:papers:2103.04375. Full description at Econpapers || Download paper | |
2021 | Modelling uncertainty in financial tail risk: a forecasting combination and weighted quantile approach. (2021). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2104.04918. Full description at Econpapers || Download paper | |
2022 | Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673. 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 | A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288. 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 | |
2022 | Risk contributions of lambda quantiles. (2021). Pesenti, Silvana ; Peri, Ilaria ; Ince, Akif. In: Papers. RePEc:arx:papers:2106.14824. Full description at Econpapers || Download paper | |
2022 | Reverse Sensitivity Analysis for Risk Modelling. (2021). Pesenti, Silvana M. In: Papers. RePEc:arx:papers:2107.01065. Full description at Econpapers || Download paper | |
2021 | Capital Requirements and Claims Recovery: A New Perspective on Solvency Regulation. (2021). Weber, Stefan ; Wilhelmy, Lutz ; Munari, Cosimo. In: Papers. RePEc:arx:papers:2107.10635. Full description at Econpapers || Download paper | |
2021 | Predicting Credit Default Probabilities Using Bayesian Statistics and Monte Carlo Simulations. (2021). Joseph, Dominic. In: Papers. RePEc:arx:papers:2108.03389. Full description at Econpapers || Download paper | |
2021 | Community detection and portfolio optimization. (2021). Wang, Gang-Jin ; Zhao, Longfeng ; Chen, Lin ; Stanley, Eugene H. In: Papers. RePEc:arx:papers:2112.13383. 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 | 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 | On a Stochastic Model of Diversification. (2022). Tselishchev, Mikhail ; Logvaneva, Maria. In: Papers. RePEc:arx:papers:2204.01284. Full description at Econpapers || Download paper | |
2022 | Second-order accuracy metrics for scoring models and their practical use. (2022). Pomazanov, M V. In: Papers. RePEc:arx:papers:2204.07989. Full description at Econpapers || Download paper | |
2022 | Calibrating distribution models from PELVE. (2022). Wang, Ruodu ; Lin, Liyuan ; Assa, Hirbod. In: Papers. RePEc:arx:papers:2204.08882. Full description at Econpapers || Download paper | |
2022 | Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679. Full description at Econpapers || Download paper | |
2022 | Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. (2022). 'Alvaro Cartea, ; Jaimungal, Sebastian ; Coache, Anthony. In: Papers. RePEc:arx:papers:2206.14666. 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 | |
2021 | On the elicitability of range value at risk. (2021). Johanna, Ziegel ; Tobias, Fissler. In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:38:y:2021:i:1-2:p:25-46:n:3. 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 | 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 | |
2022 | Gradient boosting in Markov-switching generalized additive models for location, scale, and shape. (2022). Kneib, Thomas ; Mayr, Andreas ; Adam, Timo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:22:y:2022:i:c:p:3-16. 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 | Dynamic large financial networks via conditional expected shortfalls. (2022). Caporin, Massimiliano ; Maillet, Bertrand B ; Bonaccolto, Giovanni. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:322-336. Full description at Econpapers || Download paper | |
2022 | Risk-averse multi-stage stochastic optimization for surveillance and operations planning of a forest insect infestation. (2022). Haight, Robert G ; Buyuktahtakin, Esra ; Bushaj, Sabah. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:3:p:1094-1110. 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 | |
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 | Managing downside risk of low-risk anomaly portfolios. (2022). Kim, Saejoon. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003883. Full description at Econpapers || Download paper | |
2022 | Optimized portfolio using a forward-looking expected tail loss. (2022). Sanford, Anthony. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004104. Full description at Econpapers || Download paper | |
2021 | Modality for scenario analysis and maximum likelihood allocation. (2021). Hofert, Marius ; Koike, Takaaki. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:24-43. Full description at Econpapers || Download paper | |
2021 | Diversification potential in real estate portfolios. (2021). Hasse, Jean-Baptiste ; Fuerst, Franz ; Candelon, Bertrand. In: International Economics. RePEc:eee:inteco:v:166:y:2021:i:c:p:126-139. Full description at Econpapers || Download paper | |
2022 | Nonparametric expected shortfall forecasting incorporating weighted quantiles. (2022). Wang, Chao ; Storti, Giuseppe. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:224-239. Full description at Econpapers || Download paper | |
2021 | Modelin-g credit risk with a Tobit model of days past due. (2021). Volk, Matjaž ; Masten, Igor ; Brezigar-Masten, Arjana. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302466. Full description at Econpapers || Download paper | |
2021 | Systematic credit risk in securitised mortgage portfolios. (2021). Scheule, Harald ; Rosch, Daniel ; Lee, Yongwoong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302582. Full description at Econpapers || Download paper | |
2021 | A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. (2021). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000042. Full description at Econpapers || Download paper | |
2021 | Economic capital and RAROC in a dynamic model. (2021). Zanjani, George ; Bauer, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000297. 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 | The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data. (2021). Bouzebda, Salim ; Mohammedi, Mustapha ; Laksaci, Ali. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:181:y:2021:i:c:s0047259x20302542. 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 | Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-t distribution. (2022). Lachos, Victor H ; Castro, Luis M ; Matos, Larissa A ; Galarza, Christian E. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:189:y:2022:i:c:s0047259x21002062. 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 | |
2022 | A risk measure of the stock market that is based on multifractality. (2022). Chen, Liqing ; Zhang, Zilu ; Sun, QI ; Wang, YI. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:596:y:2022:i:c:s0378437122001960. 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 | |
2021 | Systemic-systematic risk in financial system: A dynamic ranking based on expectiles. (2021). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:330-365. Full description at Econpapers || Download paper | |
2022 | Semi-nonparametric risk assessment with cryptocurrencies. (2022). Perote, Javier ; Mora-Valencia, Andrés ; Jimenez, Ines. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001884. 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 | |
2021 | Optimizing expected shortfall under an ?1 constraint—an analytic approach. (2021). Kondor, Imre ; Papp, Gabor ; Caccioli, Fabio. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:111051. Full description at Econpapers || Download paper | |
2022 | Contagion effects on financial markets risk. (2022). Dima, Bogdan ; Ioncui, Anca. In: Journal of Financial Studies. RePEc:fst:rfsisf:v:12:y:2022:i:7:p:105-133. Full description at Econpapers || Download paper | |
2021 | Economic Analysis and Generic Algorithm for Optimizing the Investments Decision-Making Process in Oil Field Development. (2021). Popescu, Catalin ; Gheorghiu, Sorin Alexandru. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:19:p:6119-:d:643331. 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 | |
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 | |
2021 | Systemic Risk Modeling with Lévy Copulas. (2021). Kim, Youngshin ; Djuri, Petar M ; Liu, Yuhao ; Glimm, James ; Rachev, Svetlozar T. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:251-:d:569413. 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 | |
2021 | . Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | Dynamic Large Financial Networks via Conditional Expected Shortfalls. (2021). Caporin, Massimiliano ; Maillet, Bertrand ; Bonaccolto, Giovanni. In: Post-Print. RePEc:hal:journl:hal-03287947. Full description at Econpapers || Download paper | |
2022 | Derivatives Risks as Costs in a One-Period Network Model. (2022). Tadese, Mekonnen ; Drapeau, Samuel ; Crepey, Stephane ; Bastide, Dorinel. In: Working Papers. RePEc:hal:wpaper:hal-03554577. Full description at Econpapers || Download paper | |
2022 | Market Risk and Volatility Weighted Historical Simulation After Basel III. (2022). Firouzi, Hassan Omidi ; Laurent, Jean-Paul. In: Working Papers. RePEc:hal:wpaper:hal-03679434. Full description at Econpapers || Download paper | |
2022 | Do Dutch SMEs Manage Financial Risk Rationally? Implications from an Empirical Study. (2022). R. P. M. ) van den Boom, . In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:14:y:2022:i:7:p:44. Full description at Econpapers || Download paper | |
2021 | The New Standardised Approach as a Credible Fallback. (2021). Rossignolo, Adrian F. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:tnea:a:1. Full description at Econpapers || Download paper | |
2021 | An Axiomatic Foundation for the Expected Shortfall. (2021). Zitikis, Riardas ; Wang, Ruodu. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:3:p:1413-1429. Full description at Econpapers || Download paper | |
2021 | Is Being “Robust” Beneficial? A Perspective from the Indian Market. (2021). Chakrabarty, Siddhartha P ; Oberoi, Shashank ; Girach, Mohammed Bilal. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:28:y:2021:i:4:d:10.1007_s10690-021-09331-x. Full description at Econpapers || Download paper | |
2022 | Deviation-Based Model Risk Measures. (2022). Righi, Marcelo Brutti ; Lakhnati, Ghizlane ; Muller, Fernanda Maria ; Berkhouch, Mohammed. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-021-10093-x. Full description at Econpapers || Download paper | |
2021 | Dynamic copula-based expectile portfolios. (2021). Sahamkhadam, Maziar. In: Journal of Asset Management. RePEc:pal:assmgt:v:22:y:2021:i:3:d:10.1057_s41260-021-00210-8. Full description at Econpapers || Download paper | |
2021 | Minimum Rényi entropy portfolios. (2021). Vrins, Frederic ; Lassance, Nathan. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03364-2. Full description at Econpapers || Download paper | |
2021 | Capital allocation and RORAC optimization under solvency 2 standard formula. (2021). Granito, Ivan ; Angelis, Paolo ; Baione, Fabio. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-020-03543-6. Full description at Econpapers || Download paper | |
2022 | Portfolio optimization with optimal expected utility risk measures. (2022). Seifried, F T ; Herbinger, J ; Graf, H ; Geissel, S. In: Annals of Operations Research. RePEc:spr:annopr:v:309:y:2022:i:1:d:10.1007_s10479-021-04403-7. Full description at Econpapers || Download paper | |
2022 | On the use of the terminal-value approach in risk-value models. (2022). Dorfleitner, Gregor. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03644-2. Full description at Econpapers || Download paper | |
2022 | Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion. (2022). Barthelemy, Fabrice ; Amedee-Manesme, Charles-Olivier. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03858-4. Full description at Econpapers || Download paper | |
2021 | Quantile– based portfolios: post– model– selection estimation with alternative specifications. (2021). Bonaccolto, Giovanni. In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:3:d:10.1007_s10287-021-00396-7. Full description at Econpapers || Download paper | |
2022 | Monetary risk measures for stochastic processes via Orlicz duality. (2022). Rossello, Damiano ; Kountzakis, Christos E. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:45:y:2022:i:1:d:10.1007_s10203-021-00334-x. Full description at Econpapers || Download paper | |
2022 | A Natural Disasters Index. (2022). Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thilini. In: Environmental Economics and Policy Studies. RePEc:spr:envpol:v:24:y:2022:i:2:d:10.1007_s10018-021-00321-x. Full description at Econpapers || Download paper | |
2021 | COVID-19: stress-testing non-financial companies: a macroprudential perspective. The experience of Poland. (2021). nehrebecka, natalia. In: Eurasian Economic Review. RePEc:spr:eurase:v:11:y:2021:i:2:d:10.1007_s40822-020-00163-0. Full description at Econpapers || Download paper | |
2021 | Elicitability and identifiability of set-valued measures of systemic risk. (2021). Rudloff, Birgit ; Hlavinova, Jana ; Fissler, Tobias. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00446-z. Full description at Econpapers || Download paper | |
2021 | Aumann–Serrano index of risk in portfolio optimization. (2021). Li, Tiantian ; Zhu, Fumin ; Fan, QI ; Kim, Young Shin. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:94:y:2021:i:2:d:10.1007_s00186-021-00753-x. Full description at Econpapers || Download paper | |
2022 | Risk minimisation using options and risky assets. (2022). Date, Paresh ; Roman, Diana ; Maasar, Mohd Azdi. In: Operational Research. RePEc:spr:operea:v:22:y:2022:i:1:d:10.1007_s12351-020-00559-5. Full description at Econpapers || Download paper | |
2021 | Qualitative research: extending the range with flexible pattern matching. (2021). Kursten, Wolfgang ; Sinkovics, Noemi ; Qiu, Yixin ; Bouncken, Ricarda B. In: Review of Managerial Science. RePEc:spr:rvmgts:v:15:y:2021:i:2:d:10.1007_s11846-021-00451-2. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2008 | Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle In: Papers. [Full Text][Citation analysis] | paper | 60 |
2007 | Incorporating exchange rate risk into PDs and asset correlations In: Papers. [Full Text][Citation analysis] | paper | 4 |
2010 | Estimating discriminatory power and PD curves when the number of defaults is small In: Papers. [Full Text][Citation analysis] | paper | 3 |
2012 | Capital allocation for credit portfolios under normal and stressed market conditions In: Papers. [Full Text][Citation analysis] | paper | 1 |
2013 | Bayesian estimation of probabilities of default for low default portfolios In: Papers. [Full Text][Citation analysis] | paper | 5 |
2012 | Bounds for rating override rates In: Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | The art of probability-of-default curve calibration In: Papers. [Full Text][Citation analysis] | paper | 5 |
2015 | What is the best risk measure in practice? A comparison of standard measures In: Papers. [Full Text][Citation analysis] | paper | 89 |
2015 | Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds In: Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Proving prediction prudence In: Papers. [Full Text][Citation analysis] | paper | 0 |
2002 | Calculating Value-at-Risk contributions in CreditRisk+ In: Papers. [Full Text][Citation analysis] | paper | 2 |
2002 | A shortcut to sign Incremental Value-at-Risk for risk allocation In: Papers. [Full Text][Citation analysis] | paper | 1 |
2002 | Remarks on the monotonicity of default probabilities In: Papers. [Full Text][Citation analysis] | paper | 2 |
2002 | Credit Risk Contributions to Value-at-Risk and Expected Shortfall In: Papers. [Full Text][Citation analysis] | paper | 5 |
2005 | Calculating credit risk capital charges with the one-factor model In: Papers. [Full Text][Citation analysis] | paper | 26 |
2003 | A traffic lights approach to PD validation In: Papers. [Full Text][Citation analysis] | paper | 9 |
2004 | Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk In: Papers. [Full Text][Citation analysis] | paper | 1 |
2004 | The single risk factor approach to capital charges in case of correlated loss given default rates In: Papers. [Full Text][Citation analysis] | paper | 18 |
2005 | Estimating Probabilities of Default for Low Default Portfolios In: Papers. [Full Text][Citation analysis] | paper | 10 |
2006 | Estimating Probabilities of Default for Low Default Portfolios.(2006) In: Springer Books. [Citation analysis] This paper has another version. Agregated cites: 10 | chapter | |
2001 | Conditional Expectation as Quantile Derivative In: Papers. [Full Text][Citation analysis] | paper | 15 |
2006 | Measuring sectoral diversification in an asymptotic multi-factor framework In: Papers. [Full Text][Citation analysis] | paper | 22 |
2006 | Validation of internal rating systems and PD estimates In: Papers. [Full Text][Citation analysis] | paper | 12 |
2002 | Expected Shortfall: A Natural Coherent Alternative to Value at Risk In: Economic Notes. [Full Text][Citation analysis] | article | 154 |
2015 | THE NUMERICS OF PREMIUM BONDS In: Journal of Gambling Business and Economics. [Full Text][Citation analysis] | article | 0 |
2002 | On the coherence of expected shortfall In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 468 |
2002 | Expected shortfall and beyond In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 107 |
2014 | Exact Fit of Simple Finite Mixture Models In: JRFM. [Full Text][Citation analysis] | article | 0 |
2015 | The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions In: JRFM. [Full Text][Citation analysis] | article | 0 |
2009 | Capital allocation for credit portfolios with kernel estimators In: Quantitative Finance. [Full Text][Citation analysis] | article | 10 |
2003 | Measuring the Discriminative Power of Rating Systems In: Discussion Paper Series 2: Banking and Financial Studies. [Full Text][Citation analysis] | paper | 33 |
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