Carlo Acerbi : Citation Profile

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

8

H index

7

i10 index

1382

Citations

RESEARCH PRODUCTION:

5

Articles

5

Papers

1

Chapters

RESEARCH ACTIVITY:

   22 years (2001 - 2023). See details.
   Cites by year: 62
   Journals where Carlo Acerbi has often published
   Relations with other researchers
   Recent citing documents: 157.    Total self citations: 6 (0.43 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pac74
   Updated: 2026-05-02    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 (48)

Righi, Marcelo (33)

Herings, P. Jean-Jacques (18)

Kóczy, László (15)

Kondor, Imre (14)

cotter, john (13)

Härdle, Wolfgang (12)

STUPFLER, Gilles (12)

Tasche, Dirk (11)

Moresco, Marlon (10)

Szabó, Dávid (9)

Cites to:

Tasche, Dirk (10)

Artzner, Philippe (5)

Schied, Alexander (1)

Jarrow, Robert (1)

Main data

Where Carlo Acerbi has published?

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

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

Recent works citing Carlo Acerbi (2025 and 2024)

YearTitle of citing document
2024Optimal Security Design for Risk-Averse Investors. (2024). Strack, Philipp ; Zhang, Mengxi ; Moldovanu, Benny ; Gershkov, Alex. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:325.

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

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2025Mean-Covariance Robust Risk Measurement. (2023). Nguyen, Viet Anh ; Abadeh, Soroosh Shafieezadeh ; Kuhn, Daniel ; Filipovi, Damir. In: Papers. RePEc:arx:papers:2112.09959.

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

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2026A discussion of stochastic dominance and mean-risk optimal portfolio problems based on mean-variance-mixture models. (2025). Sayit, Hasanjan. In: Papers. RePEc:arx:papers:2202.02488.

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

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2025On conditional distortion risk measures under uncertainty. (2025). Hu, Yijun ; Gong, Shuo ; Wei, Linxiao. In: Papers. RePEc:arx:papers:2211.00520.

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

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

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2026A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2024). Cr, St'Ephane ; Frikha, Noufel ; Louzi, Azar. In: Papers. RePEc:arx:papers:2304.01207.

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2026Hedging Valuation Adjustment for Callable Claims. (2025). Cr, St'Ephane ; Essaket, Dounia. In: Papers. RePEc:arx:papers:2304.02479.

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

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2025A framework for the valuation of insurance liabilities by production cost. (2023). Moehr, Christoph. In: Papers. RePEc:arx:papers:2401.00263.

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2024Proof of Efficient Liquidity: A Staking Mechanism for Capital Efficient Liquidity. (2024). Sharma, Utkarsh ; Tobkin, Joshua ; Abgaryan, Arman. In: Papers. RePEc:arx:papers:2401.04521.

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2024Provisions and Economic Capital for Credit Losses. (2024). Cr, St'Ephane ; Bastide, Dorinel. In: Papers. RePEc:arx:papers:2401.07728.

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2025Estimation of Spectral Risk Measure for Left Truncated and Right Censored Data. (2025). Biswas, Suparna ; Sen, Rituparna. In: Papers. RePEc:arx:papers:2402.14322.

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

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2025Extremal cases of distortion risk measures with partial information. (2024). Balakrishnan, Narayanaswamy ; Zhao, Mengshuo ; Yin, Chuancun. In: Papers. RePEc:arx:papers:2404.13637.

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2026Optimal 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). Hurlin, Christophe ; Lu, Yang. In: Papers. RePEc:arx:papers:2405.02012.

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2024An Asymptotic CVaR Measure of Risk for Markov Chains. (2024). Borkar, Vivek ; Patel, Shivam. In: Papers. RePEc:arx:papers:2405.13513.

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2024CAESar: Conditional Autoregressive Expected Shortfall. (2024). Mazzarisi, Piero ; Gatta, Federico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.06619.

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2025An Integrated Approach to Importance Sampling and Machine Learning for Efficient Monte Carlo Estimation of Distortion Risk Measures in Black Box Models. (2025). Weber, Stefan ; Bettels, Soren. In: Papers. RePEc:arx:papers:2408.02401.

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2024Quantifying the degree of risk aversion of spectral risk measures. (2024). van Beesten, Ruben E. In: Papers. RePEc:arx:papers:2408.15675.

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2025Risk measures based on target risk profiles. (2025). Sass, Jorn ; Laudag, Christian ; Alexander, Jascha. In: Papers. RePEc:arx:papers:2409.17676.

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2024Best- and worst-case Scenarios for GlueVaR distortion risk measure with Incomplete information. (2024). Yin, Chuancun ; Zhao, Mengshuo. In: Papers. RePEc:arx:papers:2409.19902.

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2024Estimation of the Adjusted Standard-deviatile for Extreme Risks. (2024). Yang, Fan ; Mao, Tiantian ; Chen, Haoyu. In: Papers. RePEc:arx:papers:2411.07203.

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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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2025On multivariate contribution measures of systemic risk with applications in cryptocurrency market. (2025). Zhang, Yiying ; Pu, Tong ; Li, Junxue ; Wen, Limin. In: Papers. RePEc:arx:papers:2411.13384.

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2025Using quantile time series and historical simulation to forecast financial risk multiple steps ahead. (2025). Storti, Giuseppe ; Naimoli, Antonio ; Gerlach, Richard. In: Papers. RePEc:arx:papers:2502.20978.

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2025Function-Coherent Gambles with Non-Additive Sequential Dynamics. (2025). Wheeler, Gregory. In: Papers. RePEc:arx:papers:2503.02889.

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2025Robust distortion risk measures with linear penalty under distribution uncertainty. (2025). Zhang, Hui ; Tian, Dejian ; Du, Yuxin. In: Papers. RePEc:arx:papers:2503.15824.

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2025Marginal expected shortfall: Systemic risk measurement under dependence uncertainty. (2025). Lin, Sheldon X ; Furman, Edward ; Chen, Jinghui. In: Papers. RePEc:arx:papers:2504.19953.

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2025Learning to optimize convex risk measures: The cases of utility-based shortfall risk and optimized certainty equivalent risk. (2025). Gupte, Sumedh ; Bhat, Sanjay P. In: Papers. RePEc:arx:papers:2506.01101.

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2026Partial comonotonicity and distortion riskmetrics. (2025). Huang, Muqiao. In: Papers. RePEc:arx:papers:2506.07472.

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2026On Design of Representative Distributionally Robust Formulations for Evaluation of Tail Risk Measures. (2025). Deo, Anand. In: Papers. RePEc:arx:papers:2506.16230.

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2025Extreme-case Range Value-at-Risk under Increasing Failure Rate. (2025). Su, Yuting ; Hu, Taizhong ; Zou, Zhenfeng. In: Papers. RePEc:arx:papers:2506.23073.

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2025Function approximations for counterparty credit exposure calculations. (2025). Demeterfi, Domagoj ; Glau, Kathrin ; Wunderlich, Linus. In: Papers. RePEc:arx:papers:2507.09004.

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2026PELVaR: Probability equal level representation of Value at Risk through the notion of Flexible Expected Shortfall. (2025). Papayiannis, Georgios I ; Psarrakos, Georgios. In: Papers. RePEc:arx:papers:2507.13562.

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2026Eliciting reference measures of law-invariant functionals. (2025). Liebrich, Felix-Benedikt ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2507.13763.

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2025Higher moments under dependence uncertainty with applications in insurance. (2025). Vanduffel, Steven ; Bernard, Carole ; Chen, Jinghui. In: Papers. RePEc:arx:papers:2508.16600.

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2025FR-LUX: Friction-Aware, Regime-Conditioned Policy Optimization for Implementable Portfolio Management. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.02986.

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2025Tail-Safe Hedging: Explainable Risk-Sensitive Reinforcement Learning with a White-Box CBF--QP Safety Layer in Arbitrage-Free Markets. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.04555.

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2025Risk-Sensitive Option Market Making with Arbitrage-Free eSSVI Surfaces: A Constrained RL and Stochastic Control Bridge. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.04569.

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2026Coherent estimation of risk measures. (2025). Jelito, Damian ; Cialenco, Igor ; Pitera, Marcin ; Aichele, Martin. In: Papers. RePEc:arx:papers:2510.05809.

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2025Inverse Portfolio Optimization with Synthetic Investor Data: Recovering Risk Preferences under Uncertainty. (2025). Cha, Jinho ; Lee, Jaejin ; Cho, Jaeyoung ; le Hoa, Thi ; Pham, Long. In: Papers. RePEc:arx:papers:2510.06986.

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2025Tail-Safe Stochastic-Control SPX-VIX Hedging: A White-Box Bridge Between AI Sensitivities and Arbitrage-Free Market Dynamics. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.15937.

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2025A high-frequency approach to Realized Risk Measures. (2025). Mazzarisi, Piero ; Lillo, Fabrizio ; Gatta, Federico. In: Papers. RePEc:arx:papers:2510.16526.

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2025Trading with the Devil: Risk and Return in Foundation Model Strategies. (2025). Zhang, Jinrui. In: Papers. RePEc:arx:papers:2510.17165.

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2025Informative Risk Measures in the Banking Industry: A Proposal based on the Magnitude-Propensity Approach. (2025). Bonollo, Michele ; Grasselli, Martino ; Mori, Gianmarco ; Oz, Havva Nilsu. In: Papers. RePEc:arx:papers:2511.21556.

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2026Autodeleveraging: Impossibilities and Optimization. (2026). Chitra, Tarun. In: Papers. RePEc:arx:papers:2512.01112.

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2025Orlicz-Lorentz premia and distortion Haezendonck-Goovaerts risk measures. (2025). Grosse-Erdmann, Karl ; Goulard, Aline. In: Papers. RePEc:arx:papers:2512.03267.

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2025Extending the application of dynamic Bayesian networks in calculating market risk: Standard and stressed expected shortfall. (2025). Kruger, Ryan ; Toerien, Francois ; Gross, Eden. In: Papers. RePEc:arx:papers:2512.12334.

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2026Lambda Expected Shortfall. (2026). Wang, Ruodu ; Huang, Muqiao ; Bellini, Fabio. In: Papers. RePEc:arx:papers:2512.23139.

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2026Systemic Risk Surveillance. (2026). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2601.08598.

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2026A Sensitivity Analysis of the Surrogate Index Approach for Estimating Long-Term Treatment Effects. (2026). Qi, Yuan ; Park, Hyeonseok ; Manzanares, Carlos A ; Fan, Yanqin. In: Papers. RePEc:arx:papers:2603.00580.

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2026Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting. (2026). Luger, Richard ; Liu, Xiaochun. In: Papers. RePEc:arx:papers:2603.02357.

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2026Range-Based Volatility Estimators for Monitoring Market Stress: Evidence from Local Food Price Data. (2026). Johannes, Bo Pieter. In: Papers. RePEc:arx:papers:2603.02898.

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2026A property of log-concave and weakly-symmetric distributions for two step approximations of random variables. (2026). Popescu, Ionel ; Nistor, Mihaela-Adriana. In: Papers. RePEc:arx:papers:2603.12767.

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2026Risk-Based Auto-Deleveraging. (2026). Nutz, Marcel ; Moallemi, Ciamac C ; Hey, Natascha ; Campbell, Steven. In: Papers. RePEc:arx:papers:2603.15963.

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2026Hedging market risk and uncertainty via a robust portfolio approach. (2026). Patacca, Marco ; Mazzarisi, Piero ; Flori, Andrea ; Chiappari, Mattia ; Ravagnani, Adele. In: Papers. RePEc:arx:papers:2604.02126.

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2026Lambda R{\e}nyi entropic value-at-risk. (2026). Zou, Zhenfeng. In: Papers. RePEc:arx:papers:2604.10657.

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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 ; Cetingoz, Adil Rengim ; Guant, Olivier ; Fermanian, Jeandavid. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:896-924.

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2024Estimation of the adjusted standard‐deviatile for extreme risks. (2024). Yang, Fan ; Mao, Tiantian ; Chen, Haoyu. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:51:y:2024:i:2:p:643-671.

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2024Estimating Value at Risk and Expected Shortfall: A Kalman Filter Approach. (2024). van der Lecq, Max ; van Vuuren, Gary. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2024-01-1.

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

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2025Optimizing risk transfer in dynamic insurance networks: A graph-based reinforcement learning framework. (2025). Emire, Ebenezer Fiifi. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:201:y:2025:i:p3:s0960077925013888.

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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). Righi, Marcelo ; Muller, Fernanda Maria ; 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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2024Financial stability policy and downside risk in stock returns. (2024). Yang, Jianlei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001219.

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

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2025Weighted-average quantile regression. (2025). Liu, Yukun ; Chetverikov, Denis ; Tsyvinski, Aleh. In: Journal of Econometrics. RePEc:eee:econom:v:252:y:2025:i:pa:s0304407625001691.

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2025Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall. (2025). Catania, Leopoldo ; Luati, Alessandra. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:23-34.

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2025On tail-risk measures for non-integrable heavy-tailed random variables. (2025). Gardes, Laurent. In: Econometrics and Statistics. RePEc:eee:ecosta:v:35:y:2025:i:c:p:84-100.

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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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2025Dynamic growth-optimal portfolio choice under risk control. (2025). Xu, Zuo Quan ; Wei, Pengyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:1:p:325-340.

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2025Differential quantile-based sensitivity in discontinuous models. (2025). Millossovich, Pietro ; Pesenti, Silvana M ; Tsanakas, Andreas. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:2:p:554-572.

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2025Monitoring bank risk around the world using unsupervised learning. (2025). TARAZI, Amine ; Lardy, Jean-Pierre ; Armand, Paul ; Mercadier, Mathieu. In: European Journal of Operational Research. RePEc:eee:ejores:v:324:y:2025:i:2:p:590-615.

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2025Day-ahead and intra-day scheduling of integrated electricity-hydrogen-gas energy system considering spectral risk theory. (2025). Zhou, Zhipeng ; Duan, Jiandong ; Tian, Qinxing ; Gao, QI. In: Energy. RePEc:eee:energy:v:323:y:2025:i:c:s0360544225014136.

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2024Assessing the US financial sector post three bank collapses: Signals from fintech and financial sector ETFs. (2024). Sensoy, Ahmet ; Goodell, John W ; Pradhan, H K ; Banerjee, Ameet Kumar. 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 ; Qiu, Zhiguo ; Nakata, Keiichi. 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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2025No shortfall of ES estimators: Insights from cryptocurrency portfolios. (2025). Výrost, Tomáš ; Horváth, Matúš ; Vrost, Tom ; Horvth, Mat. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324017148.

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2025Robust deep hedging of equity-linked securities under covariance uncertainty. (2025). Park, Sungwon ; Moon, Kyoung-Sook ; Kim, Hongjoong. In: Finance Research Letters. RePEc:eee:finlet:v:85:y:2025:i:pe:s1544612325015156.

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2024Stressing dynamic loss models. (2024). Pesenti, Silvana M ; Jaimungal, Sebastian ; 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). Zou, Zhenfeng ; Hu, Taizhong. 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). Bignozzi, Valeria ; Merlo, Luca ; Petrella, Lea. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:44-50.

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2024On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization. (2024). Stadje, Mitja ; Zhang, Fangyuan ; Chen, AN. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:114-129.

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2024Star-shaped acceptability indexes. (2024). Righi, Marcelo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:170-181.

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2024Multinomial backtesting of distortion risk measures. (2024). Kim, Sojung ; Bettels, Sren ; Weber, Stefan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:130-145.

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2024Bivariate Tail Conditional Co-Expectation for elliptical distributions. (2024). Palestini, Arsen ; Cerqueti, Roy. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:251-260.

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2025A risk measurement approach from risk-averse stochastic optimization of score functions. (2025). Mller, Fernanda Maria ; Righi, Marcelo Brutti ; Moresco, Marlon Ruoso. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:42-50.

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2025Hidden semi-Markov models for rainfall-related insurance claims. (2025). Punzo, Antonio ; Shi, Yue ; Maruotti, Antonello ; Otneim, Hkon. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:91-106.

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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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2024Estimation of extreme multivariate expectiles with functional covariates. (2024). Laloe, Thomas ; di Bernardino, Elena ; Pakzad, Cambyse. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:202:y:2024:i:c:s0047259x23001380.

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2024On the estimation of Value-at-Risk and Expected Shortfall at extreme levels. (2024). Wang, Shixuan ; Lazar, Emese ; Pan, Jingqi. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:34:y:2024:i:c:s2405851324000102.

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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]		paper627
2002On the coherence of expected shortfall.(2002) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 627		article
2001Expected Shortfall: a natural coherent alternative to Value at Risk In: Papers.
[Full Text][Citation analysis]		paper215
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: 215		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]		paper19
2002Spectral measures of risk: A coherent representation of subjective risk aversion In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article384
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]		article52
2023Backtestability and the Ridge Backtest In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter1

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