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Why Risk Is So Hard to Measure
16 references·1 citing·38 second hop
Why Risk Is So Hard to Measure (2015)Why Risk Is So Hard to MeasureSRISK: A conditional capital shortfall measure of systemic risk (2017)SRISK: A conditional capital …SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)SRISK: A Conditional Capital …Higher order elicitability and Osband’s principle (2016)Higher order elicitability an…The amendment to the capital accord to incorporate market risk (2013)The amendment to the capital …Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Is the Potential for Internat…Making and Evaluating Point Forecasts (2011)Making and Evaluating Point F…Extreme Value Theory : An Introduction (2006)Extreme Value Theory : An Int…Extreme value theory : an introduction (2006)Extreme value theory : an int…Value-at-risk versus expected shortfall: A practical perspective (2004)Value-at-risk versus expected…Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)How Accurate Are Value‐at‐Ris…Coherent Measures of Risk (1999)Coherent Measures of RiskOn the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1989)On the Frequency of Large Sto…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Mandelbrot and the Stable Paretian Hypothesis (1963)Mandelbrot and the Stable Par…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Predicting Risk through Artificial Intelligence Based on Machine Learning Algorithms: A Case of Pakistani Nonfinancial Firms (2022)Predicting Risk through Artif…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A better measure of relative prediction accuracy for model selection and model estimation (2014)Probabilistic Forecasting (2014)Forecasting: theory and practice (2022)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Hedge Fund Benchmarks: A Risk-Based Approach (2004)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Evaluating Interval Forecasts (1998)CAViaR (2004)Measuring Market Risk (2005)Does Systemic Risk in the Financial Sector Predict Future Economic Downturns? (2012)Stock Liquidity and Stock Price Crash Risk (2017)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Credit Cycles (1997)Dynamic Conditional Correlation (2002)Where the Risks Lie: A Survey on Systemic Risk (2015)Estimating global bank network connectedness (2017)Conditional Tail-Risk in Cryptocurrency Markets (2018)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions (1998)Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)Punctuated Equilibrium Theory: Explaining Stability and Change in Public Policymaking (2018)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)Stationary max-stable fields associated to negative definite functions (2009)Statistical Modeling of Spatial Extremes (2012)Power-law distributions in empirical data (2018)Risk management with expectiles (2015)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 2006Extreme Value Theory : An Introduction1,564 cited
  • 2017SRISK: A conditional capital shortfall measure of systemic risk1,318 cited
  • 2006Extreme value theory : an introduction1,256 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
  • 2011Making and Evaluating Point Forecasts1,159 cited
  • 1963Mandelbrot and the Stable Paretian Hypothesis828 cited
  • 2002How Accurate Are Value‐at‐Risk Models at Commercial Banks?531 cited
  • 2016Higher order elicitability and Osband’s principle445 cited
  • 2012Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach436 cited
  • 1989On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective425 cited
  • 2004Value-at-risk versus expected shortfall: A practical perspective334 cited
  • 2013The amendment to the capital accord to incorporate market risk283 cited
  • 2016SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

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  • 2022Predicting Risk through Artificial Intelligence Based on Machine Learning Algorithms: A Case of Pakistani Nonfinancial Firms18 cited