Carlo Acerbi : Citation Profile

Are you Carlo Acerbi?

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

8

H index

7

i10 index

1225

Citations

RESEARCH PRODUCTION:

5

Articles

5

Papers

1

Chapters

RESEARCH ACTIVITY:

   22 years (2001 - 2023). See details.
   Cites by year: 55
   Journals where Carlo Acerbi has often published
   Relations with other researchers
   Recent citing documents: 104.    Total self citations: 6 (0.49 %)

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   Permalink: http://citec.repec.org/pac74
   Updated: 2024-07-05    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 (45)

Herings, P. Jean-Jacques (18)

Kóczy, László (15)

Kondor, Imre (14)

cotter, john (13)

Tasche, Dirk (11)

Härdle, Wolfgang (9)

Mahmoud, Ola (8)

STUPFLER, Gilles (7)

Barthélémy, Fabrice (7)

Fabozzi, Frank (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
Journal of Banking & Finance2
Quantitative 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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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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2023A 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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2023Differential 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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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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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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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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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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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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2023New Classes of Distortion Risk Measures and Their Estimation. (2023). Wang, Xiwen ; Sepanski, Jungsywan H. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:11:p:194-:d:1277752.

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2023Risk Measures in Simulation-Based Business Valuation: Classification of Risk Measures in Risk Axiom Systems and Application in Valuation Practice. (2023). Ernst, Dietmar. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:1:p:13-:d:1027451.

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2023Optimal Reinsurance under the Linear Combination of Risk Measures in the Presence of Reinsurance Loss Limit. (2023). Nadarajah, Saralees ; Peng, Zuoxiang ; Xiong, Qian. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:7:p:125-:d:1190801.

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2023The Impact of ESG Scores on Risk Market Performance. (2023). Aldieri, Luigi ; Candila, Vincenzo ; Amendola, Alessandra. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:9:p:7183-:d:1132776.

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

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2023A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2023). Louzi, Azar ; Frikha, Noufel ; Crepey, Stephane. In: Working Papers. RePEc:hal:wpaper:hal-04037328.

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2023Hedging Valuation Adjustment for Callable Claims. (2023). Essaket, Dounia ; Crepey, Stephane ; Benezet, Cyril. In: Working Papers. RePEc:hal:wpaper:hal-04057045.

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2023The effect of funding liquidity regulation and ESG promotion on market liquidity. (2023). Csoka, Peter ; Hever, Judit. In: CERS-IE WORKING PAPERS. RePEc:has:discpr:2307.

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2023Hidden semi-Markov models for rainfall-related insurance claims. (2023). Punzo, Antonio ; Shi, Yue ; Maruotti, Antonello ; Otneim, Hkon. In: Discussion Papers. RePEc:hhs:nhhfms:2023_017.

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2023Portfolio Optimization Via Online Gradient Descent and Risk Control. (2023). Neto, R F ; C. C. H. Borges, ; J. D. M. Yamim, . In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10284-0.

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2023The Effect of Regulatory Requirements and ESG Promotion on Market Liquidity. (2023). Hever, Judit ; Csoka, Peter. In: MNB Working Papers. RePEc:mnb:wpaper:2023/1.

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2023Risk measures-based cluster methods for finance. (2023). Righi, Marcelo Brutti ; Muller, Fernanda Maria ; Guedes, Pablo Cristini. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00110-0.

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2023The riskiness of stock versus money market investment with stochastic rates. (2023). Bihary, Zsolt ; Szabo, David Zoltan. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:31:y:2023:i:2:d:10.1007_s10100-022-00814-4.

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2023Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint. (2023). Leccadito, Arturo ; Costabile, Massimo ; Russo, Emilio ; Staino, Alessandro. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00439-1.

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2023Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making. (2023). Xu, Huifu ; Wang, Wei. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00475-x.

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2023Computational aspects of column generation for nonlinear and conic optimization: classical and linearized schemes. (2023). Chicoisne, Renaud. In: Computational Optimization and Applications. RePEc:spr:coopap:v:84:y:2023:i:3:d:10.1007_s10589-022-00445-0.

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2023Optimal Portfolio Projections for Skew-Elliptically Distributed Portfolio Returns. (2023). Loperfido, Nicola ; Shushi, Tomer. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:199:y:2023:i:1:d:10.1007_s10957-023-02252-x.

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2023.

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2023Mean-Variance-VaR portfolios: MIQP formulation and performance analysis. (2023). Tardella, Fabio ; Martino, Manuel L ; Cesarone, Francesco. In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:45:y:2023:i:3:d:10.1007_s00291-023-00719-x.

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2023Modified Expected Shortfall: a Coherent Risk Measure for Elliptical Family of Distributions. (2023). Variyam, Ramanathan Thekke ; Jadhav, Deepak K. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00294-1.

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2023Semiparametric estimation of expected shortfall and its application in finance. (2023). Zhao, Yunfan ; Liu, Yinglin ; Fang, Yan. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:835-851.

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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]		paper53
2002On the coherence of Expected Shortfall In: Papers.
[Full Text][Citation analysis]		paper554
2002On the coherence of expected shortfall.(2002) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 554		article
2001Expected Shortfall: a natural coherent alternative to Value at Risk In: Papers.
[Full Text][Citation analysis]		paper185
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: 185		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]		paper17
2002Spectral measures of risk: A coherent representation of subjective risk aversion In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article338
2007Coherent measures of risk in everyday market practice In: Quantitative Finance.
[Full Text][Citation analysis]		article21
2008Liquidity risk theory and coherent measures of risk In: Quantitative Finance.
[Full Text][Citation analysis]		article49
2023Backtestability and the Ridge Backtest In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0

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