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Expected Shortfall: a natural coherent alternative to Value at Risk. (2001). Acerbi, Carlo ; Tasche, Dirk.
In: Papers.
RePEc:arx:papers:cond-mat/0105191.

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  2. Mixed Models as an Alternative to Farima. (2017). Jos'e Igor Morlanes, .
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  3. Periodic portfolio revision with transaction costs. (2015). Georgiev, Krastyu ; Stoyanov, Stoyan ; Kim, Young.
    In: Mathematical Methods of Operations Research.
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  4. MODERN RISK MEASURES FOR INDIVIDUAL HIGHER EDUCATION INVESTMENT RISK EVALUATION. (2014). Mate, Vona .
    In: Annals of Faculty of Economics.
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  5. Equally-weighted Risk Contribution Portfolios: an empirical study using expected shortfall. (2014). Casuccio, Giulio ; Cagna, Elisabetta .
    In: CeRP Working Papers.
    RePEc:crp:wpaper:142.

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  6. Wpływ reasekuracji i retrocesji na własności składek. (2013). Antoniak, Wojciech .
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  7. Non-parametric Estimation of Operational Risk and Expected Shortfall. (2013). Silvapulle, Param.
    In: Monash Econometrics and Business Statistics Working Papers.
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  8. Fat tails, VaR and subadditivity. (2013). Jorgensen, Bjorn ; de Vries, Casper ; Danielsson, Jon ; Sarma, Mandira ; Samorodnitsky, Gennady.
    In: Journal of Econometrics.
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  9. Estimating risk for the carbon market via extreme value theory: An empirical analysis of the EU ETS. (2012). Wei, Yi-Ming ; Feng, Zhen-Hua ; Wang, Kai.
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  10. A hierarchical model of tail dependent asset returns for assessing portfolio credit risk. (2011). Tente, Natalia ; Puzanova, Natalia .
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  11. Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements. (2011). cotter, john ; Dowd, Kevin.
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  12. Rates of almost sure convergence of plug-in estimates for distortion risk measures. (2011). Zahle, Henryk.
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  14. Estimating risk for the carbon market via extreme value theory: An empirical analysis of the EU ETS. (2011). Wei, Yi-Ming ; Feng, Zhen-Hua ; Wang, Kai.
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  15. Diversifying market and default risk in high grade sovereign bond portfolios. (2011). Kobor, Adam ; Rustaman, Vidhya ; Brennan, Myles .
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  16. Hedging strategies with a put option and their failure rates. (2011). Huang, Guanghui ; Xing, Wenting ; Xu, Jing.
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  17. On the Conditional Value-at-Risk probability-dependent utility function. (2010). Street, Alexandre.
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  19. Lower Partial Moments as a measure of vulnerability to poverty in Cameroon. (2009). Witt, Rudolf ; Waibel, Hermann.
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  22. Quantile Cointegrating Regression. (2009). Xiao, Zhijie.
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  30. Approximating the distributions of estimators of financial risk under an asymmetric Laplace law. (2007). Trindade, Alexandre A. ; Zhu, Yun.
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  31. Third Moment of Yield Probability Distributions for Instruments on Slovenian Financial Markets. (2006). Grum, Andraž.
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  32. Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements. (2006). Dowd, Kevin ; cotter, john.
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  33. Extreme spectral risk measures: An application to futures clearinghouse margin requirements. (2006). Dowd, Kevin ; cotter, john.
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  35. Subadditivity re–examined: the case for value-at-risk. (2005). Jorgensen, Bjorn ; de Vries, Casper ; Danielsson, Jon ; Mandira, Sarma ; Samorodnitsky, Gennady.
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  40. Spectral measures of risk: A coherent representation of subjective risk aversion. (2002). Acerbi, Carlo.
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  41. Portfolio Optimization with Spectral Measures of Risk. (2002). Acerbi, Carlo ; Carlo, Acerbi ; Prospero, Simonetti .
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  42. Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem. (2001). Acerbi, Carlo.
    In: Papers.
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References

References cited by this document

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    RePEc:hal:journl:halshs-00196443.

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  41. Subadditivity re–examined: the case for value-at-risk. (2005). Jorgensen, Bjorn ; de Vries, Casper ; Danielsson, Jon ; Mandira, Sarma ; Samorodnitsky, Gennady.
    In: LSE Research Online Documents on Economics.
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  42. On the significance of expected shortfall as a coherent risk measure. (2005). Inui, Koji ; Kijima, Masaaki.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:4:p:853-864.

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  43. Expected shortfall and beyond. (2002). Tasche, Dirk.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:7:p:1519-1533.

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  44. Spectral measures of risk: A coherent representation of subjective risk aversion. (2002). Acerbi, Carlo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:7:p:1505-1518.

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  45. On the coherence of expected shortfall. (2002). Tasche, Dirk ; Acerbi, Carlo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:7:p:1487-1503.

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  46. Conditional value-at-risk for general loss distributions. (2002). Uryasev, Stanislav ; Rockafellar, Tyrrell R..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:7:p:1443-1471.

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  47. Expected Shortfall and Beyond. (2002). .
    In: Papers.
    RePEc:arx:papers:cond-mat/0203558.

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  48. On the coherence of Expected Shortfall. (2002). Acerbi, Carlo ; Tasche, Dirk.
    In: Papers.
    RePEc:arx:papers:cond-mat/0104295.

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  49. Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem. (2001). Acerbi, Carlo.
    In: Papers.
    RePEc:arx:papers:cond-mat/0107190.

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  50. Expected Shortfall: a natural coherent alternative to Value at Risk. (2001). Acerbi, Carlo ; Tasche, Dirk.
    In: Papers.
    RePEc:arx:papers:cond-mat/0105191.

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