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Cited by

• 2002On the coherence of expected shortfall1,596 cited
• 2002Spectral measures of risk: A coherent representation of subjective risk aversion946 cited
• 2004Measures of risk119 cited
• 1998An Actuarial Index of the Right-Tail Risk115 cited
• 2008Two-sided coherent risk measures and their application in realistic portfolio optimization77 cited
• 2010Extreme Risk Measures for International REIT Markets63 cited
• 2012Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence48 cited
• 1998On the Accuracy of VaR Estimates Based on the Variance-Covariance Approach45 cited
• 1997Probability and Statistics Applied to the Practice of Financial Risk Management: The Case of J.P. Morgan's RiskMetrics™41 cited
• 1997Maximum loss for measurement of market risk33 cited
• 2002Comparing Density Forecasts Via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods32 cited
• 1998On Dynamic Measures of Risk18 cited
• 2015Measuring risk beyond the cash-additive paradigm13 cited