1. Which User-Friendly Model is the Best for BASEL-III? An Emerging Market Study. (2024). Lalon, Raad ; Abedin, Mohammad Zoynul ; Mozumder, Sharif ; Hossain, Amjad.
   In: Computational Economics.
   RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-023-10545-6.

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2. Inter-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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3. Good risk measures, bad statistical assumptions, ugly risk forecasts. (2024). Poudyal, Niraj ; Michaelides, Michael.
   In: The Financial Review.
   RePEc:bla:finrev:v:59:y:2024:i:2:p:519-543.

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4. Quantiles under ambiguity and risk sharing. (2024). Liu, Peng ; Wang, Ruodu ; Mao, Tiantian.
   In: Papers.
   RePEc:arx:papers:2412.19546.

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5. Backtesting 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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6. Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification. (2024). Zhao, Yimiao ; Liu, Yang ; Geng, Bingzhen.
   In: Papers.
   RePEc:arx:papers:2404.18029.

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7. Elicitability and identifiability of tail risk measures. (2024). Wei, Linxiao ; Wang, Ruodu ; Liu, Fangda ; Fissler, Tobias.
   In: Papers.
   RePEc:arx:papers:2404.14136.

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9. Less disagreement, better forecasts: Adjusted risk measures in the energy futures market. (2023). Xue, Xiaohan ; Gong, Yujing ; Zhang, Ning.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1332-1372.

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10. Testing Granger Non-Causality in Expectiles. (2023). Taamouti, Abderrahim ; Doukali, Mohamed ; Bouezmarni, Taoufik.
    In: University of East Anglia School of Economics Working Paper Series.
    RePEc:uea:ueaeco:2023-02.

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11. Modified 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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12. Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets. (2023). Mighri, Zouheir ; Jaziri, Raouf.
    In: Journal of Quantitative Economics.
    RePEc:spr:jqecon:v:21:y:2023:i:1:d:10.1007_s40953-022-00331-w.

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13. Risk mitigation services in cyber insurance: optimal contract design and price structure. (2023). Scherer, Matthias ; Zeller, Gabriela.
    In: The Geneva Papers on Risk and Insurance - Issues and Practice.
    RePEc:pal:gpprii:v:48:y:2023:i:2:d:10.1057_s41288-023-00289-7.

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14. Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error*. (2023). Kole, Erik ; van Dijk, Dick ; Barendse, Sander.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:21:y:2023:i:2:p:528-568..

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15. Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura.
    In: The Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72..

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16. Horizon-Adaptive Extreme Risk Quantification for Cryptocurrency Assets. (2023). Maurer, Frantz ; Tzagkarakis, George.
    In: Computational Economics.
    RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10300-3.

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17. Dependent Metaverse Risk Forecasts with Heteroskedastic Models and Ensemble Learning. (2023). Hakim, Arief ; Tjahjono, Venansius ; Syuhada, Khreshna.
    In: Risks.
    RePEc:gam:jrisks:v:11:y:2023:i:2:p:32-:d:1054142.

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18. Less disagreement, better forecasts: adjusted risk measures in the energy futures market. (2023). Xue, Xiaohan ; Gong, Yujing ; Zhang, Ning.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:118451.

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19. Estimation of value at risk for copper. (2023). Papathanasiou, Spyros ; Konstantatos, Christoforos ; Gkillas, Konstantinos ; Wohar, Mark.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000417.

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20. Does 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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21. Diversification quotients based on VaR and ES. (2023). Wang, Ruodu ; Lin, Liyuan ; Han, Xia.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:113:y:2023:i:c:p:185-197.

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22. PELVE: Probability Equivalent Level of VaR and ES. (2023). Wang, Ruodu ; Li, Hengxin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:234:y:2023:i:1:p:353-370.

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23. Regressions under Adverse Conditions. (2023). Hoga, Yannick ; Dimitriadis, Timo.
    In: Papers.
    RePEc:arx:papers:2311.13327.

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24. Diversification quotients based on VaR and ES. (2023). Wang, Ruodu ; Lin, Liyuan ; Han, Xia.
    In: Papers.
    RePEc:arx:papers:2301.03517.

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29. A concept of copula robustness and its applications in quantitative risk management. (2022). Zahle, Henryk.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:26:y:2022:i:4:d:10.1007_s00780-022-00485-8.

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30. Deviation-Based Model Risk Measures. (2022). Righi, Marcelo Brutti ; Lakhnati, Ghizlane ; Muller, Fernanda Maria ; Berkhouch, Mohammed.
    In: Computational Economics.
    RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-021-10093-x.

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31. Expectile-based capital allocation. (2022). Khalil, Said.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03816525.

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32. Market Risk and Volatility Weighted Historical Simulation After Basel III. (2022). Firouzi, Hassan Omidi ; Laurent, Jean-Paul.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03679434.

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33. Semi-nonparametric risk assessment with cryptocurrencies. (2022). Perote, Javier ; Mora-Valencia, Andrés ; Jimenez, Ines.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001884.

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34. Spillover effects between commodity and stock markets: A SDSES approach. (2022). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722003701.

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35. The gradient allocation principle based on the higher moment risk measure. (2022). Tong, Zhiwei ; Tang, Qihe ; Gomez, Fabio.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:143:y:2022:i:c:s0378426622001388.

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36. Parametric measures of variability induced by risk measures. (2022). Wei, Yunran ; Wang, Ruodu ; Fadina, Tolulope ; Bellini, Fabio.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:106:y:2022:i:c:p:270-284.

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37. Avoiding zero probability events when computing Value at Risk contributions. (2022). Targino, Rodrigo ; Saporito, Yuri ; Koike, Takaaki.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:106:y:2022:i:c:p:173-192.

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38. Inter-order relations between moments of a Student $t$ distribution, with an application to $L_p$-quantiles. (2022). Petrella, Lea ; Merlo, Luca ; Bignozzi, Valeria.
    In: Papers.
    RePEc:arx:papers:2209.12855.

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39. Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. (2022). 'Alvaro Cartea, ; Jaimungal, Sebastian ; Coache, Anthony.
    In: Papers.
    RePEc:arx:papers:2206.14666.

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40. Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia.
    In: Papers.
    RePEc:arx:papers:2206.13679.

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41. Calibrating distribution models from PELVE. (2022). Wang, Ruodu ; Lin, Liyuan ; Assa, Hirbod.
    In: Papers.
    RePEc:arx:papers:2204.08882.

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42. Tail Risk of Electricity Futures. (2022). Mayoral, Silvia ; Rodriguez, Rosa ; Pena, Juan Ignacio.
    In: Papers.
    RePEc:arx:papers:2202.01732.

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43. Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan.
    In: Papers.
    RePEc:arx:papers:2201.06319.

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44. Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures. (2021). Perote, Javier ; Moravalencia, Andres ; Molinamuoz, Enrique.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4163-4189.

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45. Elicitability and identifiability of set-valued measures of systemic risk. (2021). Rudloff, Birgit ; Hlavinova, Jana ; Fissler, Tobias.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00446-z.

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46. An Axiomatic Foundation for the Expected Shortfall. (2021). Zitikis, Riardas ; Wang, Ruodu.
    In: Management Science.
    RePEc:inm:ormnsc:v:67:y:2021:i:3:p:1413-1429.

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47. Systemic Risk Modeling with Lévy Copulas. (2021). Kim, Youngshin ; Djuri, Petar M ; Liu, Yuhao ; Glimm, James ; Rachev, Svetlozar T.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:251-:d:569413.

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48. Analysis and Forecasting of Risk in Count Processes. (2021). Frahm, Gabriel ; Weiss, Christian H ; Homburg, Annika ; Gob, Rainer ; Alwan, Layth C.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:4:p:182-:d:537533.

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49. Economic Analysis and Generic Algorithm for Optimizing the Investments Decision-Making Process in Oil Field Development. (2021). Popescu, Catalin ; Gheorghiu, Sorin Alexandru.
    In: Energies.
    RePEc:gam:jeners:v:14:y:2021:i:19:p:6119-:d:643331.

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50. Systemic-systematic risk in financial system: A dynamic ranking based on expectiles. (2021). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:75:y:2021:i:c:p:330-365.

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51. The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data. (2021). Bouzebda, Salim ; Mohammedi, Mustapha ; Laksaci, Ali.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:181:y:2021:i:c:s0047259x20302542.

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52. On the elicitability of range value at risk. (2021). Johanna, Ziegel ; Tobias, Fissler.
    In: Statistics & Risk Modeling.
    RePEc:bpj:strimo:v:38:y:2021:i:1-2:p:25-46:n:3.

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53. Bayes risk, elicitability, and the Expected Shortfall. (2021). Wang, Qiuqi ; Mao, Tiantian ; Embrechts, Paul.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:31:y:2021:i:4:p:1190-1217.

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54. Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick.
    In: Papers.
    RePEc:arx:papers:2104.10673.

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57. Risk measures for direct real estate investments with non-normal or unknown return distributions. (2020). Oertel, Cay ; Muller, Moritz ; Lee, Stephen ; Lausberg, Carsten ; Schultheiss, Tobias.
    In: Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research).
    RePEc:spr:gjorer:v:6:y:2020:i:1:d:10.1365_s41056-019-00028-x.

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58. A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies. (2020). Fantazzini, Dean ; Zimin, Stephan.
    In: Economia e Politica Industriale: Journal of Industrial and Business Economics.
    RePEc:spr:epolin:v:47:y:2020:i:1:d:10.1007_s40812-019-00136-8.

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59. An energy-based measure for long-run horizon risk quantification. (2020). Maurer, Frantz ; Tzagkarakis, George.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:289:y:2020:i:2:d:10.1007_s10479-020-03609-5.

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60. A New Semiparametric Mirrored Historical Simulation Value-At-Risk Model. (2020). Brzakovi, Omislav D ; Filipovi, Luka ; Radivojevi, Nikola.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2020:i:1:p:5-21.

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61. Investing in Real Estate - Legal Risks. (2020). Badura, Ewelina.
    In: MIC 2020: The 20th Management International Conference.
    RePEc:prp:micp20:39-46.

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62. Diversification and portfolio theory: a review. (2020). Koumou, Nettey Boevi Gilles.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00352-6.

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63. A risk-averse and buyer-led supply chain under option contract: CVaR minimization and channel coordination. (2020). Fan, Yinghua ; Shou, Yongyi ; Feng, YI.
    In: International Journal of Production Economics.
    RePEc:eee:proeco:v:219:y:2020:i:c:p:66-81.

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64. On a robust risk measurement approach for capital determination errors minimization. (2020). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:95:y:2020:i:c:p:199-211.

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65. Relative bound and asymptotic comparison of expectile with respect to expected shortfall. (2020). Drapeau, Samuel ; Tadese, Mekonnen.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:93:y:2020:i:c:p:387-399.

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66. Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market. (2020). Sobreira, Nuno ; Louro, Rui.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305403.

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67. Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall. (2020). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:70:y:2020:i:c:s1057521917301801.

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68. Tail risk of electricity futures. (2020). Rodriguez, Rosa ; Pea, Juan Ignacio ; Mayoral, Silvia.
    In: Energy Economics.
    RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302267.

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69. Mixed data sampling expectile regression with applications to measuring financial risk. (2020). Yu, Keming ; Jiang, Cuixia ; Chen, LU ; Xu, Qifa.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:91:y:2020:i:c:p:469-486.

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70. Expectile CAPM. (2020). Zheng, Zhenlong ; Hu, Wei.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:88:y:2020:i:c:p:386-397.

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71. Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp‐optimization. (2020). STUPFLER, Gilles ; Girard, Stephane ; Gardes, Laurent.
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:47:y:2020:i:3:p:922-949.

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72. Estimating portfolio risk for tail risk protection strategies. (2020). Lohre, Harald ; Happersberger, David ; Nolte, Ingmar.
    In: European Financial Management.
    RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146.

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73. Parametric measures of variability induced by risk measures. (2020). Fadina, Tolulope ; Bellini, Fabio ; Wei, Yunran ; Wang, Ruodu.
    In: Papers.
    RePEc:arx:papers:2012.05219.

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74. The Impact of the Choice of Risk and Dispersion Measure on Procyclicality. (2020). Kratz, Marie ; Brautigam, Marcel.
    In: Papers.
    RePEc:arx:papers:2001.00529.

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75. Backtesting Extreme Value Theory models of expected shortfall. (2019). Garcia-Jorcano, Laura ; Novales, Alfonso.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1924.

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76. Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error. (2019). van Dijk, Dick ; Kole, Erik ; Barendse, Sander .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:2019058.

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77. A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies. (2019). Fantazzini, Dean ; Zimin, Stephan.
    In: MPRA Paper.
    RePEc:pra:mprapa:95988.

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78. Backtesting Expected Shortfall via Multi-Quantile Regression. (2019). Leymarie, Jérémy ; Couperier, Ophelie.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-01909375.

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79. Quantifying Risk in Traditional Energy and Sustainable Investments. (2019). Mora-Valencia, Andrés ; Garcia-Donato, Gonzalo ; Diaz, Antonio.
    In: Sustainability.
    RePEc:gam:jsusta:v:11:y:2019:i:3:p:720-:d:201942.

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80. Choosing expected shortfall over VaR in Basel III using stochastic dominance. (2019). McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio ; Maasoumi, Esfandiar .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:60:y:2019:i:c:p:95-113.

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81. Model risk of expected shortfall. (2019). Zhang, Ning ; Lazar, Emese.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:105:y:2019:i:c:p:74-93.

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82. Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility. (2019). Brigo, Damiano ; Armstrong, John.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:101:y:2019:i:c:p:122-135.

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83. Backtesting VaR and ES under the magnifying glass. (2019). Panopoulou, Ekaterini ; Argyropoulos, Christos.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:64:y:2019:i:c:p:22-37.

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84. Dual Representation of Expectile based Expected Shortfall and Its Properties. (2019). Tadese, Mekonnen ; Drapeau, Samuel .
    In: Papers.
    RePEc:arx:papers:1911.03245.

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85. Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall. (2019). Tadese, Mekonnen ; Drapeau, Samuel.
    In: Papers.
    RePEc:arx:papers:1906.09729.

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86. Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source. (2019). Dacorogna, Michel ; Kratz, Marie ; Brautigam, Marcel.
    In: Papers.
    RePEc:arx:papers:1903.03969.

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87. Elicitability of Range Value at Risk. (2019). Ziegel, Johanna F ; Fissler, Tobias.
    In: Papers.
    RePEc:arx:papers:1902.04489.

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88. Robustness in the Optimization of Risk Measures. (2019). Wang, Ruodu ; Schied, Alexander ; Embrechts, Paul.
    In: Papers.
    RePEc:arx:papers:1809.09268.

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89. Regression Based Expected Shortfall Backtesting. (2019). Dimitriadis, Timo ; Bayer, Sebastian.
    In: Papers.
    RePEc:arx:papers:1801.04112.

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90. On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti.
    In: Papers.
    RePEc:arx:papers:1707.09829.

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91. Numerical comparison of multivariate models to forecasting risk measures. (2018). Righi, Marcelo Brutti ; Muller, Fernanda Maria .
    In: Risk Management.
    RePEc:pal:risman:v:20:y:2018:i:1:d:10.1057_s41283-017-0026-8.

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92. Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature. (2018). Fang, Ying ; Cai, Zongwu ; Tian, Dingshi.
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:201807.

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93. On the Dependence between Quantiles and Dispersion Estimators. (2018). Kratz, Marie ; Brautigam, Marcel.
    In: Working Papers.
    RePEc:hal:wpaper:hal-02296832.

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94. Predicting risk with risk measures : an empirical study. (2018). Dacorogna, Michel ; Kratz, Marie ; Brautigam, Marcel.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01791026.

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95. A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations. (2018). Pfeuffer, Marius ; Moser, Thorsten ; Fischer, Matthias.
    In: Risks.
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96. The Asymptotic Decision Scenarios of an Emerging Stock Exchange Market: Extreme Value Theory and Artificial Neural Network. (2018). Ud, Hira Salah ; Du, Jianguo ; Musah, Abdul-Aziz Ibn ; Abdul-Rasheed, Alhassan Alolo.
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97. Bootstrapping Average Value at Risk of Single and Collective Risks. (2018). Zahle, Henryk ; Beutner, Eric.
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98. Unbiased estimation of risk. (2018). Pitera, Marcin ; Schmidt, Thorsten.
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99. Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall. (2018). Lok, Yen ; McNeil, Alexander J ; Kratz, Marie.
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100. Using expected shortfall for credit risk regulation. (2018). Osmundsen, Kjartan Kloster .
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101. A simulation comparison of risk measures for portfolio optimization. (2018). Righi, Marcelo Brutti ; Borenstein, Denis.
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102. Multivariate dependence analysis via tree copula models: An application to one-year forward energy contracts. (2018). Bassetti, Federico ; Tarantola, Claudia ; Nicolino, Enrica ; De Giuli, Maria Elena ; DeGiuli, Maria Elena .
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103. On the Dependence between Quantiles and Dispersion Estimators. (2018). Marie, Kratz ; Marcel, Brautigam.
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104. Predicting risk with risk measures : an empirical study. (2018). Marie, Kratz ; Michel, Dacorogna ; Marcel, Brautigam.
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105. Backtesting Expected Shortfall: a simple recipe?. (2018). Pitera, Marcin ; Moldenhauer, Felix .
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106. Elicitation Complexity of Statistical Properties. (2018). Frongillo, Rafael ; Kash, Ian A..
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107. Risk bounds for factor models. (2017). Vanduffel, Steven ; Wang, Ruodu ; Ruschendorf, Ludger ; Bernard, Carole.
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108. Quantile Evaluation, Sensitivity to Bracketing, and Sharing Business Payoffs. (2017). Winkler, Robert L ; Richmond, Victor ; Lichtendahl, Kenneth C ; Grushka-Cockayne, Yael.
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109. Using Expected Shortfall for Credit Risk Regulation. (2017). Osmundsen, Kjartan Kloster .
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110. Diversification benefits under multivariate second order regular variation. (2017). Kratz, Marie ; Das, Bikramjit.
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111. MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES. (2017). Rulliere, Didier ; Said, Khalil ; Maume-Deschamps, Veronique.
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112. Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks. (2017). Furman, Edward ; Zitikis, Riardas ; Wang, Ruodu.
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113. Optimal insurance design in the presence of exclusion clauses. (2017). Chi, Yichun ; Liu, Fangda .
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114. Robust and Pareto optimality of insurance contracts. (2017). Asimit, Alexandru V ; Kim, Eun-Seok ; Hu, Junlei ; Chun, KA ; Bignozzi, Valeria.
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115. Diversification benefits under multivariate second order regular variation. (2017). Kratz, Marie ; Das, Bikramjit.
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116. Statistical Inference for Expectile-based Risk Measures. (2017). Kratschmer, Volker ; Zahle, Henryk.
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117. Elicitability and backtesting: Perspectives for banking regulation. (2017). Nolde, Natalia ; Ziegel, Johanna F.
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118. RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL. (2016). Bianchi, Michele Leonardo ; Fabozzi, Frank J ; Tassinari, Gian Luca.
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119. DIFFERENCES BETWEEN MEAN-VARIANCE AND MEAN-CVAR PORTFOLIO OPTIMIZATION MODELS. (2016). Miskolczi, Panna.
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120. Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study. (2016). Dacorogna, Michel ; Kratz, Marie ; Chotard, Rosnan .
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121. Multinomial var backtests: A simple implicit approach to backtesting expected shortfall. (2016). Lok, Yen ; McNeil, Alexander ; Kratz, Marie.
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122. Extremes for coherent risk measures. (2016). Asimit, Alexandru V ; Li, Jinzhu.
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123. Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study. (2016). Dacorogna, Michel ; Marie, Kratz ; Michel, Dacorogna ; Rosnan, Chotard .
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124. Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall. (2016). Dosis, Anastasios.
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125. Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall. (2016). Lok, Yen ; Kratz, Marie ; McNeil, Alexander J.
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126. Aggregation-robustness and model uncertainty of regulatory risk measures. (2015). Embrechts, Paul ; Wang, Bin.
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127. Alegerea soluţiilor pentru expunerile faţă de risc. (2015). Stefanescu, Razvan ; Dumitriu, Ramona.
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128. Backtesting Expected Shortfall: Accounting for Tail Risk. (2015). Escanciano, Juan Carlos ; Du, Zaichao.
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129. Dependence Uncertainty Bounds for the Expectile of a Portfolio. (2015). Vanduffel, Steven ; Jakobsons, Edgars.
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130. Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting. (2015). Fissler, Tobias ; Gneiting, Tilmann ; Ziegel, Johanna F..
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131. Higher order elicitability and Osbands principle. (2015). Ziegel, Johanna F. ; Fissler, Tobias .
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132. The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio. (2014). Dacorogna, Michel ; Kratz, Marie ; Busse, Marc.
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133. An Academic Response to Basel 3.5. (2014). Puccetti, Giovanni ; Ruschendorf, Ludger ; Beleraj, Antonela ; Wang, Ruodu ; Embrechts, Paul.
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134. Equally-weighted Risk Contribution Portfolios: an empirical study using expected shortfall. (2014). Casuccio, Giulio ; Cagna, Elisabetta .
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135. Distortion Risk Measures and Elicitability. (2014). Ziegel, Johanna F. ; Wang, Ruodu.
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28. Regulatory capital for market and credit risk interaction: is current regulation always conservative?. (2008). Summer, Martin ; Rheinberger, Klaus ; Breuer, Thomas ; Jandacka, Martin .
    In: Discussion Paper Series 2: Banking and Financial Studies.
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29. An Econometric Analysis of Financial Data in Risk Management. (2008). Fantazzini, Dean.
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30. Stable Allocations of Risk. (2008). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Laszlo Á. Koczy, ; Csoka, Peter.
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31. Nested simulation in portfolio risk measurement. (2008). Gordy, Michael ; Juneja, Sandeep.
    In: Finance and Economics Discussion Series.
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32. Nonparametric estimation of conditional VaR and expected shortfall. (2008). CAI, ZONGWU ; Wang, Xian.
    In: Journal of Econometrics.
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33. Portfolio selection with uncertain exit time: A robust CVaR approach. (2008). Fabozzi, Frank ; Huang, Dashan ; Zhu, Shu-Shang ; Fukushima, Masao.
    In: Journal of Economic Dynamics and Control.
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34. A Bayesian approach to estimate the marginal loss distributions in operational risk management. (2008). Giudici, Paolo ; Dalla Valle, Luciana.
    In: Computational Statistics & Data Analysis.
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35. Measuring concentration risk for regulatory purposes. (2007). Vohringer, Clemens ; Hibbeln, Martin ; Gurtler, Marc.
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36. Could Regional and Cantonal Banks Reduce Credit Risk through National Diversification?. (2007). Rime, Bertrand .
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37. Managerial Risk Accounting and Control – A German perspective. (2007). Winter, Peter.
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38. Tradable measure of risk. (2007). Xu, Mingxin ; Vecer, Jan ; Pospisil, Libor .
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39. The limits of diversification when losses may be large.. (2007). Walden, Johan ; Ibragimov, Rustam.
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40. Stable Allocations of Risk. (2007). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Laszlo Á. Koczy, ; Csoka, Peter.
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41. A Component GARCH Model with Time Varying Weights. (2007). Storti, Giuseppe ; Bauwens, Luc ; G., STORTI, .
    In: Discussion Papers (ECON - Département des Sciences Economiques).
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42. Weighted V@R and its Properties. (2006). Cherny, A..
    In: Finance and Stochastics.
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43. Don’t Fall from the Saddle: the Importance of Higher Moments of Credit Loss Distributions. (2006). LAMOOT, J. ; Annaert, J. ; LANINE, G. ; Crispiniano Garcia Joao Batista, .
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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44. Tail Conditional Expectation for vector-valued Risks. (2006). Bentahar, Imen ; BEN TAHAR, IMEN .
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45. Coherent Measures of Risk from a General Equilibrium Perspective. (2006). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Koczy, Laszlo ; Csoka, Peter.
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46. Multivariate distribution models with generalized hyperbolic margins. (2006). Stutzle, Eric ; Hrycej, Tomas ; Schmidt, Rafael .
    In: Computational Statistics & Data Analysis.
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47. Auto-Dependence Structure of Arch-Models: Tail Dependence Coefficients. (2006). Brummelhuis, Raymond.
    In: Birkbeck Working Papers in Economics and Finance.
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48. Reducing Asset Weights Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization. (2006). Tilke, Stephan.
    In: University of Regensburg Working Papers in Business, Economics and Management Information Systems.
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49. Noise sensitivity of portfolio selection under various risk measures. (2006). Kondor, Imre ; Nagy, Gabor ; Pafka, Szilard .
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50. Measuring sectoral diversification in an asymptotic multi-factor framework. (2006). Tasche, Dirk.
    In: Papers.
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51. Inverse stochastic dominance constraints and rank dependent expected utility theory. (2005). Ruszczynski, Andrzej ; Dentcheva, Darinka.
    In: GE, Growth, Math methods.
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52. Risk Measure Pricing and Hedging in Incomplete Markets. (2005). Xu, Mingxin.
    In: Finance.
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53. Methodology of measuring performance in alternative investment.. (2005). Nagot, Isabelle ; Bonnet, Alexis .
    In: Cahiers de la Maison des Sciences Economiques.
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54. On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix. (2005). Falk, Michael .
    In: Statistics & Probability Letters.
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55. Coherent risk measures under filtered historical simulation. (2005). Giannopoulos, Kostas ; Tunaru, Radu.
    In: Journal of Banking & Finance.
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56. Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements. (2005). Scaillet, Olivier ; Fermanian, Jean-David.
    In: Journal of Banking & Finance.
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57. On the significance of expected shortfall as a coherent risk measure. (2005). Inui, Koji ; Kijima, Masaaki.
    In: Journal of Banking & Finance.
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58. Optimization of Risk Measures. (2004). Shapiro, Alexander ; Ruszczynski, Andrzej.
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59. Backtesting for risk-based regulatory capital. (2004). Melenberg, Bertrand ; Kerkhof, Jeroen.
    In: Journal of Banking & Finance.
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60. Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations. (2003). Dacorogna, Michel ; Jaeger, Lars ; Blum, Peter.
    In: Risk and Insurance.
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61. High volatility, thick tails and extreme value theory in value-at-risk estimation. (2003). Selcuk, Faruk ; Gencay, Ramazan ; Ulugulyagci, Abdurrahman.
    In: Insurance: Mathematics and Economics.
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62. Expected shortfall and beyond. (2002). Tasche, Dirk.
    In: Journal of Banking & Finance.
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63. Spectral measures of risk: A coherent representation of subjective risk aversion. (2002). Acerbi, Carlo.
    In: Journal of Banking & Finance.
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64. Measures of risk. (2002). Szego, Giorgio .
    In: Journal of Banking & Finance.
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65. Credit Risk Contributions to Value-at-Risk and Expected Shortfall. (2002). Tasche, Dirk ; Kurth, Alexandre .
    In: Papers.
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66. Investigating Extreme Dependences: Concepts and Tools. (2002). Malevergne, Yannick ; Sornette, D..
    In: Papers.
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67. Nonparametric estimation of the spectral measure of an extreme value distribution. (2001). Einmahl, John ; de Haan, L. F. M., ; Piterbarg, V. I. ; Einmahl, J. H. J., .
    In: Other publications TiSEM.
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