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

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2. 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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3. Dynamic copula-based expectile portfolios. (2021). Sahamkhadam, Maziar.
   In: Journal of Asset Management.
   RePEc:pal:assmgt:v:22:y:2021:i:3:d:10.1057_s41260-021-00210-8.

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4. Semi-parametric estimation of multivariate extreme expectiles. (2021). Mailhot, Melina ; di Bernardino, Elena ; Beck, Nicholas.
   In: Journal of Multivariate Analysis.
   RePEc:eee:jmvana:v:184:y:2021:i:c:s0047259x21000361.

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5. 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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6. Belief elicitation with multiple point predictions. (2021). Schmidt, Patrick ; Eyting, Markus.
   In: European Economic Review.
   RePEc:eee:eecrev:v:135:y:2021:i:c:s0014292121000532.

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7. An axiomatization of $\Lambda$-quantiles. (2021). Peri, Ilaria ; Bellini, Fabio.
   In: Papers.
   RePEc:arx:papers:2109.02360.

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8. Computing near-optimal Value-at-Risk portfolios using Integer Programming techniques. (2021). Zuluaga, Luis F ; Vera, Juan C ; Babat, Onur.
   In: Papers.
   RePEc:arx:papers:2107.07339.

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9. 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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10. 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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11. Is the inf-convolution of law-invariant preferences law-invariant?. (2020). Wang, Ruodu ; Liu, Peng ; Wei, Linxiao .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:91:y:2020:i:c:p:144-154.

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12. 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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13. Risk functionals with convex level sets. (2020). Wei, Yunran ; Wang, Ruodu.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:30:y:2020:i:4:p:1337-1367.

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14. Risk Measures Based on Benchmark Loss Distributions. (2020). Munari, Cosimo ; Burzoni, Matteo ; Bignozzi, Valeria.
    In: Journal of Risk & Insurance.
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15. The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F.
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16. Testing expected shortfall: an application to emerging market stock indices. (2019). Mora-Valencia, Andrés ; Velasquez-Gaviria, Daniel ; Cardona, Emilio.
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17. Belief Elicitation with Multiple Point Predictions. (2019). Schmidt, Patrick ; Eyting, Markus .
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18. “Dice”-sion–Making Under Uncertainty: When Can a Random Decision Reduce Risk?. (2019). Wiesemann, Wolfram ; Kuhn, Daniel ; Delage, Erick.
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19. 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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20. Optimal strategies under Omega ratio. (2019). Ye, Jiang ; Vanduffel, Steven ; Bernard, Carole.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:275:y:2019:i:2:p:755-767.

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21. Dual Representation of Expectile based Expected Shortfall and Its Properties. (2019). Tadese, Mekonnen ; Drapeau, Samuel .
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22. Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall. (2019). Tadese, Mekonnen ; Drapeau, Samuel.
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    RePEc:arx:papers:1906.09729.

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

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24. A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti.
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    RePEc:arx:papers:1807.01977.

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25. On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti.
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26. Utility‐based shortfall risk: Efficient computations via Monte Carlo. (2018). Hu, Zhaolin ; Zhang, Dali.
    In: Naval Research Logistics (NRL).
    RePEc:wly:navres:v:65:y:2018:i:5:p:378-392.

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27. Expectiles, Omega Ratios and Stochastic Ordering. (2018). Bellini, Fabio ; Muller, Alfred ; Klar, Bernhard.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:20:y:2018:i:3:d:10.1007_s11009-016-9527-2.

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28. Assessing Tail Risk Using Expectile Regressions with Partially Varying Coefficients. (2018). Tian, Dingshi ; Fang, Ying ; Cai, Zongwu.
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:201804.

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29. Multivariate Shortfall Risk Allocation and Systemic Risk. (2018). Papapantoleon, Antonis ; Drapeau, Samuel ; Crepey, Stephane ; Armenti, Yannick .
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    RePEc:hal:wpaper:hal-01764398.

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30. ASYMPTOTIC MULTIVARIATE EXPECTILES. (2018). Rulliere, Didier ; Said, Khalil ; Maume-Deschamps, Veronique.
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    RePEc:hal:wpaper:hal-01509963.

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31. Forecasting risk with Markov-switching GARCH models:A large-scale performance study. (2018). Ardia, David ; Catania, Leopoldo ; Boudt, Kris ; Bluteau, Keven.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:34:y:2018:i:4:p:733-747.

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32. Conditional expectiles, time consistency and mixture convexity properties. (2018). Bellini, Fabio ; Puccetti, Giovanni ; Bignozzi, Valeria.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:82:y:2018:i:c:p:117-123.

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33. Large deviations for risk measures in finite mixture models. (2018). Bignozzi, Valeria ; Petrella, Lea ; Macci, Claudio.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:80:y:2018:i:c:p:84-92.

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34. Computing near-optimal Value-at-Risk portfolios using integer programming techniques. (2018). Babat, Onur ; Zuluaga, Luis F ; Vera, Juan C.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:266:y:2018:i:1:p:304-315.

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35. Large deviations for risk measures in finite mixture models. (2018). Petrella, Lea ; Macci, Claudio ; Bignozzi, Valeria.
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    RePEc:arx:papers:1710.03252.

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36. Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk. (2018). Peng, Xianhua ; He, Xue Dong .
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    RePEc:arx:papers:1707.05596.

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37. On the properties of the Lambda value at risk: robustness, elicitability and consistency. (2017). Burzoni, M ; Ruffo, C M ; Peri, I.
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38. MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES. (2017). Maume-Deschamps, Veronique ; Said, Khalil ; Rulliere, Didier .
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39. MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES. (2017). Rulliere, Didier ; Said, Khalil ; Maume-Deschamps, Veronique.
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    RePEc:hal:journl:hal-01367277.

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40. Robust and Pareto optimality of insurance contracts. (2017). Asimit, Alexandru V ; Kim, Eun-Seok ; Hu, Junlei ; Chun, KA ; Bignozzi, Valeria.
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41. Elicitability and backtesting: Perspectives for banking regulation. (2017). Nolde, Natalia ; Ziegel, Johanna F.
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42. On the properties of the Lambda value at risk: robustness, elicitability and consistency. (2017). Burzoni, Matteo ; Ruffo, Chiara Maria ; Peri, Ilaria.
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43. Regulatory arbitrage of risk measures. (2016). Wang, Ruodu.
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44. On the Measurement of Economic Tail Risk. (2016). Kou, Steven ; Peng, Xianhua .
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45. Multinomial var backtests: A simple implicit approach to backtesting expected shortfall. (2016). Lok, Yen ; McNeil, Alexander ; Kratz, Marie.
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46. Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall. (2016). Dosis, Anastasios.
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47. Scenario aggregation method for portfolio expectile optimization. (2016). Edgars, Jakobsons .
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48. Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings. (2016). Ehm, Werner ; Kruger, Fabian ; Jordan, Alexander ; Gneiting, Tilmann .
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49. Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall. (2016). Lok, Yen ; Kratz, Marie ; McNeil, Alexander J.
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50. Dependence Uncertainty Bounds for the Expectile of a Portfolio. (2015). Vanduffel, Steven ; Jakobsons, Edgars.
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