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Computing VAR and AVaR in Infinitely Divisible Distributions
11 references·6 citing·42 second hop
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this work references cited by second hop

References

  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
  • 2000Stable Paretian Models in Finance718 cited
  • 2000OPTION PRICING FOR TRUNCATED LÉVY PROCESSES284 cited
  • 2007Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis201 cited
  • 2008Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures150 cited
  • 2001Feller processes of normal inverse Gaussian type148 cited
  • 2010Tempered stable and tempered infinitely divisible GARCH models99 cited
  • 2007Financial market models with Lévy processes and time-varying volatility94 cited

Cited by

  • 2012Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model65 cited
  • 2011Subordinated α -stable Ornstein–Uhlenbeck process as a tool for financial data description63 cited
  • 2012Stable mixture GARCH models60 cited
  • 2023From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures

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29 cited
  • 2019Modelling tail risk with tempered stable distributions: an overview27 cited
  • 2012Approximation of skewed and leptokurtic return distributions26 cited