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Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization

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2006Empirical study of value‐at‐risk and expected shortfall models with heavy tails71 cited
2010Calculation of aggregate loss distributions61 cited
2002Analytical Bounds for two Value-at-Risk Functionals58 cited
2004Coherent risk measures under filtered historical simulation57 cited
2004Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements56 cited
2003Exploring the Limitations of Value at Risk: How Good Is It in Practice?50 cited

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2006

Computing the portfolio Conditional Value-at-Risk in the Alfa-stable case

45 cited

2003Conditional value‐at‐risk bounds for compound Poisson risks and anormal approximation44 cited

2009Capital allocation for credit portfolios with kernel estimators43 cited

2010Estimation of multiple period expected shortfall and median shortfall for risk management40 cited

2015Backtesting Expected Shortfall: Accounting for Tail Risk39 cited