1. Balancedness Conditions for Exact Games. (2008). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Laszlo Á. Koczy, ; Csoka, Peter.
   In: Working Paper Series.
   RePEc:pkk:wpaper:0805.

   Full description at Econpapers || Download paper

2. Balancedness Conditions for Exact Games. (2007). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter.
   In: Research Memorandum.
   RePEc:unm:umamet:2007039.

   Full description at Econpapers || Download paper

1. Acerbi, C., 2002. Spectral measures of risk: A coherent representation of subjective risk aversion. Journal of Banking and Finance 26, 1505-1518.

2. Acerbi, C., Tasche, D., 2002. On the coherence of expected shortfall. Journal of Banking and Finance 26, 1487-1504.

3. Artzner, Ph. F., Delbaen, F., Eber, J.-M., Heath, D., 1999. Coherent measures of risk. Mathematical Finance 9, 203-228.

4. Bondareva, Olga N., 1963. Some applications of linear programming methods to the theory of cooperative games (in Russian). Problemy Kybernetiki 10, 119-139.
   Paper not yet in RePEc: Add citation now
   

5. Csóka, P., Herings, P. J. J., Kóczy, L. A., 2007a. Balancedness conditions for exact games. Manuscript, pp. 1-14.

6. Csóka, P., Herings, P. J. J., Kóczy, L. A., 2007b. Coherent measures of risk from a general equilibrium perspective. Journal of Banking and Finance, forthcoming, doi: 10. 1016/j .jbank.n.2006. 10.026 Denault, M., 2001. Coherent allocation of risk capital. Journal of Risk 4, 1-34.

7. Dubey, P., Shapley, Lloyd 5., 1982. Totally balanced games arising from controlled programming problems. Discussion paper.

8. Kalai, E., Zemel, E., 1982a. Generalized network problems yielding totally balanced games.

9. Kalai, E., Zemel, E., 1982b. Totally balanced games and games of flow. Mathematics of Operations Research 7, 476-478.

10. Legut, J., 1990. On totally balanced games arising from cooperation in fair division. Games and Economic Behavior 2, 47-60.

11. Owen, G., 1975. On the core of linear production games. Mathematical Programming 9, 358-370.
    Paper not yet in RePEc: Add citation now
    

12. Predtetchinski, A., Herings, P. J. J., 2004. A necessary and sufficient condition for the nonemptiness of the core of a non-transferable utility game. Journal of Economic Theory 116, 84-92.

13. Schmeidler, D., 1972. Cores of exact games. Journal of Mathematical Analysis and Applications 40, 214-225.
    Paper not yet in RePEc: Add citation now
    

14. Shapley, L. S., Shubik, M., 1969. On market games. Journal of Economic Theory 1, 9-25.

15. Shapley, Lloyd 5., 1967. On balanced sets and cores. Naval Research Logistics Quarterly 14, 453-460.

16. Tijs, S., Parthasarathy, T., Potters, J., Prassad, V. Rajendra, 1984. Permutation games: Another class of totally balanced games. OR Spektrum 6, 119-123.

1. Adjusted Expected Shortfall. (2020). Munari, Cosimo ; Burzoni, Matteo ; Wang, Ruodu.
   In: Papers.
   RePEc:arx:papers:2007.08829.

   Full description at Econpapers || Download paper

2. On the Measurement of Economic Tail Risk. (2015). Kou, Steven ; Peng, Xianhua .
   In: Papers.
   RePEc:arx:papers:1401.4787.

   Full description at Econpapers || Download paper

3. Bayesian estimation of probabilities of default for low default portfolios. (2013). Tasche, Dirk.
   In: Papers.
   RePEc:arx:papers:1112.5550.

   Full description at Econpapers || Download paper

4. Loss-Based Risk Measures. (2013). Cont, Rama ; He, Xue Dong ; Deguest, Romain .
   In: Papers.
   RePEc:arx:papers:1110.1436.

   Full description at Econpapers || Download paper

5. Tight Approximations of Dynamic Risk Measures. (2013). Iancu, Dan A. ; Huang, Pu ; Petrik, Marek ; Subramanian, Dharmashankar .
   In: Papers.
   RePEc:arx:papers:1106.6102.

   Full description at Econpapers || Download paper

6. Modelling energy spot prices: Empirical evidence from NYMEX. (2012). Andriosopoulos, Kostas ; Nomikos, Nikos .
   In: Energy Economics.
   RePEc:eee:eneeco:v:34:y:2012:i:4:p:1153-1169.

   Full description at Econpapers || Download paper

7. Evaluating the Precision of Estimators of Quantile-Based Risk Measures. (2011). cotter, john ; Dowd, Kevin.
   In: Working Papers.
   RePEc:ucd:wpaper:2007/43.

   Full description at Econpapers || Download paper

8. Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements. (2011). cotter, john ; Dowd, Kevin.
   In: Working Papers.
   RePEc:ucd:wpaper:2007/42.

   Full description at Econpapers || Download paper

9. Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements. (2011). cotter, john ; Dowd, Kevin.
   In: Working Papers.
   RePEc:ucd:wpaper:2006/16.

   Full description at Econpapers || Download paper

10. Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach. (2011). cotter, john ; Dowd, Kevin.
    In: Working Papers.
    RePEc:ucd:wpaper:2006/13.

    Full description at Econpapers || Download paper

11. Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements. (2011). cotter, john ; Dowd, Kevin.
    In: Working Papers.
    RePEc:ucd:wpaper:2005/16.

    Full description at Econpapers || Download paper

12. Rates of almost sure convergence of plug-in estimates for distortion risk measures. (2011). Zahle, Henryk.
    In: Metrika: International Journal for Theoretical and Applied Statistics.
    RePEc:spr:metrik:v:74:y:2011:i:2:p:267-285.

    Full description at Econpapers || Download paper

13. Loss-Based Risk Measures. (2011). Cont, Rama ; He, Xue Dong ; Deguest, Romain .
    In: Working Papers.
    RePEc:hal:wpaper:hal-00629929.

    Full description at Econpapers || Download paper

14. Extreme Measures of Agricultural Financial Risk. (2011). cotter, john ; Morgan, Wyn ; Dowd, Kevin.
    In: Papers.
    RePEc:arx:papers:1103.5962.

    Full description at Econpapers || Download paper

15. On optimal portfolio diversification with respect to extreme risks. (2010). Ruschendorf, Ludger ; Mainik, Georg .
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:14:y:2010:i:4:p:593-623.

    Full description at Econpapers || Download paper

16. A method for determining risk aversion functions from uncertain market prices of risk. (2010). Mayoral, Silvia ; Gzyl, Henryk.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:47:y:2010:i:1:p:84-89.

    Full description at Econpapers || Download paper

17. Loss reserving using loss aversion functions. (2009). de Jong, Piet ; Choo, Weihao .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:45:y:2009:i:2:p:271-277.

    Full description at Econpapers || Download paper

18. To split or not to split: Capital allocation with convex risk measures. (2009). Tsanakas, Andreas.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:44:y:2009:i:2:p:268-277.

    Full description at Econpapers || Download paper

19. Stable allocations of risk. (2009). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Koczy, Laszlo Á., .
    In: Games and Economic Behavior.
    RePEc:eee:gamebe:v:67:y:2009:i:1:p:266-276.

    Full description at Econpapers || Download paper

20. An Econometric Analysis of Financial Data in Risk Management. (2008). Fantazzini, Dean.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0006.

    Full description at Econpapers || Download paper

21. Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory. (2008). Pezier, Jacques .
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2008-05.

    Full description at Econpapers || Download paper

22. Stable Allocations of Risk. (2008). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Laszlo Á. Koczy, ; Csoka, Peter.
    In: Working Paper Series.
    RePEc:pkk:wpaper:0802.

    Full description at Econpapers || Download paper

23. Spectral risk measures and portfolio selection. (2008). Adam, Alexandre ; Houkari, Mohamed ; Laurent, Jean-Paul.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:9:p:1870-1882.

    Full description at Econpapers || Download paper

24. Determination of risk pricing measures from market prices of risk. (2008). Mayoral, Silvia ; Gzyl, Henryk.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:43:y:2008:i:3:p:437-443.

    Full description at Econpapers || Download paper

25. Risk measurement in the presence of background risk. (2008). Tsanakas, Andreas.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:42:y:2008:i:2:p:520-528.

    Full description at Econpapers || Download paper

26. Measuring financial risk : comparison of alternative procedures to estimate VaR and ES. (2008). Ruiz, Esther ; Nieto, Maria Rosa .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws087326.

    Full description at Econpapers || Download paper

27. Multivariate risks and depth-trimmed regions. (2007). Molchanov, Ilya ; Cascos, Ignacio.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:11:y:2007:i:3:p:373-397.

    Full description at Econpapers || Download paper

28. Dilatation monotone risk measures are law invariant. (2007). Grigoriev, Pavel ; Cherny, Alexander .
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:11:y:2007:i:2:p:291-298.

    Full description at Econpapers || Download paper

29. Estimating financial risk measures for futures positions: a non-parametric approach. (2007). Dowd, Kevin ; cotter, john.
    In: MPRA Paper.
    RePEc:pra:mprapa:3503.

    Full description at Econpapers || Download paper

30. Exponential Spectral Risk Measures. (2007). Dowd, Kevin ; cotter, john.
    In: MPRA Paper.
    RePEc:pra:mprapa:3499.

    Full description at Econpapers || Download paper

31. Filtered Extreme Value Theory for Value-At-Risk Estimation. (2007). Ozun, Alper ; Cifter, Atilla ; Yilmazer, Sait .
    In: MPRA Paper.
    RePEc:pra:mprapa:3302.

    Full description at Econpapers || Download paper

32. The limits of diversification when losses may be large.. (2007). Walden, Johan ; Ibragimov, Rustam.
    In: Scholarly Articles.
    RePEc:hrv:faseco:2624460.

    Full description at Econpapers || Download paper

33. Stable Allocations of Risk. (2007). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Laszlo Á. Koczy, ; Csoka, Peter.
    In: IEHAS Discussion Papers.
    RePEc:has:discpr:0704.

    Full description at Econpapers || Download paper

34. The limits of diversification when losses may be large. (2007). Walden, Johan ; Ibragimov, Rustam.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:8:p:2551-2569.

    Full description at Econpapers || Download paper

35. Coherent measures of risk from a general equilibrium perspective. (2007). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Laszlo Á. Koczy, ; Csoka, Peter.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:8:p:2517-2534.

    Full description at Econpapers || Download paper

36. Backtesting VaR Models: An Expected Shortfall Approach. (2007). Degiannakis, Stavros ; Angelidis, Timotheos.
    In: Working Papers.
    RePEc:crt:wpaper:0701.

    Full description at Econpapers || Download paper

37. Weighted V@R and its Properties. (2006). Cherny, A..
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:10:y:2006:i:3:p:367-393.

    Full description at Econpapers || Download paper

38. On a relationship between distorted and spectral risk measures. (2006). Mayoral, Silvia ; Gzyl, Henryk ; Henryk, Gzyl.
    In: MPRA Paper.
    RePEc:pra:mprapa:916.

    Full description at Econpapers || Download paper

39. Coherent Measures of Risk from a General Equilibrium Perspective. (2006). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Koczy, Laszlo ; Csoka, Peter.
    In: IEHAS Discussion Papers.
    RePEc:has:discpr:0611.

    Full description at Econpapers || Download paper

40. Master funds in portfolio analysis with general deviation measures. (2006). Zabarankin, Michael ; Rockafellar, Tyrrell R. ; Uryasev, Stan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:2:p:743-778.

    Full description at Econpapers || Download paper

41. Extreme spectral risk measures: An application to futures clearinghouse margin requirements. (2006). Dowd, Kevin ; cotter, john.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:12:p:3469-3485.

    Full description at Econpapers || Download paper

42. Multivariate risks and depth-trimmed regions. (2006). Cascos, Ignacio ; Molchanov, Ilya.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws063815.

    Full description at Econpapers || Download paper

43. Multivariate risks and depth-trimmed regions. (2006). Cascos, Ignacio ; Molchanov, Ilya.
    In: Papers.
    RePEc:arx:papers:math/0606520.

    Full description at Econpapers || Download paper

44. Methodology of measuring performance in alternative investment.. (2005). Nagot, Isabelle ; Bonnet, Alexis .
    In: Cahiers de la Maison des Sciences Economiques.
    RePEc:mse:wpsorb:b05078.

    Full description at Econpapers || Download paper

45. Coherent risk measures under filtered historical simulation. (2005). Giannopoulos, Kostas ; Tunaru, Radu.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:4:p:979-996.

    Full description at Econpapers || Download paper

46. Reward-risk portfolio selection and stochastic dominance. (2005). De Giorgi, Enrico.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:4:p:895-926.

    Full description at Econpapers || Download paper

47. 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.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

49. Measures of risk. (2002). Szego, Giorgio .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:7:p:1253-1272.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

Report date: 2025-02-27 10:06:08 || Missing content? Let us know