Carlo Acerbi : Citation Profile

Are you Carlo Acerbi?

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

8

H index

7

i10 index

1265

Citations

RESEARCH PRODUCTION:

5

Articles

5

Papers

1

Chapters

RESEARCH ACTIVITY:

   22 years (2001 - 2023). See details.
   Cites by year: 57
   Journals where Carlo Acerbi has often published
   Relations with other researchers
   Recent citing documents: 141.    Total self citations: 6 (0.47 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pac74
   Updated: 2024-12-03    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 (9)

Mahmoud, Ola (8)

Barthélémy, Fabrice (7)

Cites to:

Tasche, Dirk (10)

Artzner, Philippe (5)

Jarrow, Robert (1)

Schied, Alexander (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 (2024 and 2023)

YearTitle of citing document
2023A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2023Kernel Based Estimation of Spectral Risk Measures. (2019). Sen, Rituparna ; Biswas, Suparna . In: Papers. RePEc:arx:papers:1903.03304.

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2024Star-shaped acceptability indexes. (2021). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2110.08630.

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2023Mean-Covariance Robust Risk Measurement. (2021). Filipovi, Damir ; Abadeh, Soroosh Shafieezadeh ; Nguyen, Viet Anh ; Kuhn, Daniel. In: Papers. RePEc:arx:papers:2112.09959.

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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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2023A 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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2023Robust Distortion Risk Measures. (2022). Vanduffel, Steven ; Pesenti, Silvana M ; Bernard, Carole. In: Papers. RePEc:arx:papers:2205.08850.

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2023Persuading Risk-Conscious Agents: A Geometric Approach. (2022). Lingenbrink, David ; Iyer, Krishnamurthy ; Anunrojwong, Jerry. In: Papers. RePEc:arx:papers:2208.03758.

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2023Vine Copula based portfolio level conditional risk measure forecasting. (2022). Czado, Claudia ; Bax, Karoline ; Sommer, Emanuel. In: Papers. RePEc:arx:papers:2208.09156.

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2023A risk measurement approach from risk-averse stochastic optimization of score functions. (2022). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2208.14809.

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2023A potential mechanism of gas supply-security cooperation based on a game-theoretic model. (2022). Csercsik, D'Avid. In: Papers. RePEc:arx:papers:2209.05089.

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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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2023Distortion risk measures in random environments: construction and axiomatic characterization. (2022). Wei, Linxiao ; Hu, Yijun ; Gong, Shuo. In: Papers. RePEc:arx:papers:2211.00520.

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2023Stochastic Algorithms for Advanced Risk Budgeting. (2022). Gu, Olivier ; Fermanian, Jean-David ; Cetingoz, Adil Rengim. In: Papers. RePEc:arx:papers:2211.07212.

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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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2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2023The Financial Market of Indices of Socioeconomic Wellbeing. (2023). Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thilini V. In: Papers. RePEc:arx:papers:2303.05654.

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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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2023Mean-variance hybrid portfolio optimization with quantile-based risk measure. (2023). Zhou, KE ; Gao, Jianjun ; Lin, YU ; Wu, Weiping. In: Papers. RePEc:arx:papers:2303.15830.

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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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2023Hedging Valuation Adjustment for Callable Claims. (2023). Essaket, Dounia ; Cr, St'Ephane. In: Papers. RePEc:arx:papers:2304.02479.

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2023Robust optimized certainty equivalents and quantiles for loss positions with distribution uncertainty. (2023). Tian, Dejian ; Li, Weiwei. In: Papers. RePEc:arx:papers:2304.04396.

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2023An elementary proof of the dual representation of Expected Shortfall. (2023). Munari, Cosimo ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2306.14506.

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2023A note on the induction of comonotonic additive risk measures from acceptance sets. (2023). de Oliveira, Eduardo ; Righi, Marcelo Brutti ; Moresco, Marlon Ruoso ; Santos, Samuel Solgon. In: Papers. RePEc:arx:papers:2307.04647.

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2023Optimal Management of DC Pension Plan with Inflation Risk and Tail VaR Constraint. (2023). Yang, Dongfang ; Xu, Zuo Quan ; Mi, Hui. In: Papers. RePEc:arx:papers:2309.01936.

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2023Intergenerational Equity in Models of Climate Change Mitigation: Stochastic Interest Rates introduce Adverse Effects, but (Non-linear) Funding Costs can Improve Intergenerational Equity. (2023). Quante, Lennart ; Fries, Christian. In: Papers. RePEc:arx:papers:2309.16186.

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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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2023A General Framework for Portfolio Construction Based on Generative Models of Asset Returns. (2023). Chen, Kan ; Cheng, Tuoyuan. In: Papers. RePEc:arx:papers:2312.03294.

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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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2023On the General Deviation Measure and the Gini coefficient. (2023). Nisani, Doron. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:3:p:599-610.

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2023Capital requirements and claims recovery: A new perspective on solvency regulation. (2023). Wilhelmy, Lutz ; Weber, Stefan ; Munari, Cosimo. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:329-380.

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2023Preference robust distortion risk measure and its application. (2023). Xu, Huifu ; Wang, Wei. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:2:p:389-434.

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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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2023Bidding strategy of integrated energy system considering decision maker’s subjective risk aversion. (2023). Yu, Feng ; Liu, Chuanquan ; Zhou, Qihui. In: Applied Energy. RePEc:eee:appene:v:341:y:2023:i:c:s0306261923004932.

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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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2023A description of the COVID-19 outbreak role in financial risk forecasting. (2023). Righi, Marcelo Brutti ; Santos, Samuel Solgon ; Muller, Fernanda Maria. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000177.

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2023GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets. (2023). Li, Min-Jian ; Yao, Can-Zhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000335.

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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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2023Contagion effects of UK small business failures: A spatial hierarchical autoregressive model for binary data. (2023). Calabrese, Raffaella. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:989-997.

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2023Sensitivity measures based on scoring functions. (2023). Pesenti, Silvana M ; Fissler, Tobias. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:3:p:1408-1423.

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2023Weather rebate contracts for different risk attitudes of supply chain members. (2023). Fang, L ; Wahab, M. I. M., ; Sarkar, P. In: European Journal of Operational Research. RePEc:eee:ejores:v:311:y:2023:i:1:p:139-153.

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2023Distortion risk measure under parametric ambiguity. (2023). Zhang, Zhe George ; Shao, Hui. In: European Journal of Operational Research. RePEc:eee:ejores:v:311:y:2023:i:3:p:1159-1172.

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2023Your skin or mine: Ensuring the viability of a central counterparty. (2023). Varadi, Kata ; Friesz, Melinda. In: Emerging Markets Review. RePEc:eee:ememar:v:57:y:2023:i:c:s1566014123000791.

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2023Forecasting tail risk measures for financial time series: An extreme value approach with covariates. (2023). Prokhorov, Artem ; Yin, Jessica Wai ; Leung, Henry ; James, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:29-50.

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2023Oil price and the automobile industry: Dynamic connectedness and portfolio implications with downside risk. (2023). Kang, Sang Hoon ; Maitra, Debasish ; Jain, Prachi. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s014098832300035x.

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2023The equity-oil hedge: A comparison between volatility and alternative risk frameworks. (2023). Kuang, Wei. In: Energy. RePEc:eee:energy:v:271:y:2023:i:c:s0360544223004395.

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2023A novel downside beta and expected stock returns. (2023). Liu, Jinjing. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004057.

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2023Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment. (2023). Fan, Caiyun ; Xu, Yixiong ; Zhang, Feipeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s105752192300368x.

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2023Measurement and contagion modelling of systemic risk in Chinas financial sectors: Evidence for functional data analysis and complex network. (2023). Gu, Qinen ; Li, Shaofang ; Tian, Sihua. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004295.

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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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2023Coherent measure of portfolio risk. (2023). Ardakani, Omid. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005949.

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2023A Bayesian approach for more reliable tail risk forecasts. (2023). Drovandi, Christopher ; Clements, Adam ; Li, Dan. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s157230892200119x.

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2023Probability equivalent level of Value at Risk and higher-order Expected Shortfalls. (2023). Sut, Laszlo ; Nedenyi, Fanni K ; Barczy, Matyas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:107-128.

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2023Inf-convolution and optimal allocations for mixed-VaRs. (2023). Hu, Taizhong ; Zou, Zhenfeng ; Xia, Zichao. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:156-164.

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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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2023The information content of sentiment indices in forecasting Value at Risk and Expected Shortfall: a Complete Realized Exponential GARCH-X approach. (2023). Naimoli, Antonio. In: International Economics. RePEc:eee:inteco:v:176:y:2023:i:c:s2110701723000719.

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2023Early Warning Systems for identifying financial instability. (2023). Sanfelici, Simona ; Allaj, Erindi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1777-1803.

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2023Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic. (2023). Stankov, Petar ; Mensi, Walid ; Enilov, Martin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000642.

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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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2023Is there a risk premium? Evidence from thirteen measures. (2023). Ramos, Henrique Pinto ; Muller, Fernanda Maria ; Fracasso, Lais Martins ; Righi, Marcelo Brutti. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:92:y:2023:i:c:p:182-199.

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2023Evaluation of the operational quality of Chinas grain futures market based on the comprehensive information weighting method. (2023). Li, Sijie ; Guo, Wenjing ; Lin, Shengyao ; Xing, Mengyue. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:467-482.

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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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2023.

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2023.

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2023.

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More than 100 citations found, this list is not complete...

Works by Carlo Acerbi:

YearTitleTypeCited
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]		paper569
2002On the coherence of expected shortfall.(2002) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 569		article
2001Expected Shortfall: a natural coherent alternative to Value at Risk In: Papers.
[Full Text][Citation analysis]		paper195
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: 195		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]		article349
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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