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The amendment to the capital accord to incorporate market risk
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  • 1996The theory and practice of financial stability239 cited
  • 2016Model risk of risk models165 cited
  • 2008Developing a stress testing framework based on market risk models145 cited
  • 2008Robust optimization of conditional value at risk and portfolio selection141 cited
  • 2004Optimal portfolio selection and dynamic benchmark tracking139 cited
  • 2001An analytic approach to credit risk of large corporate bond and loan portfolios136 cited
  • 2012Fat tails, VaR and subadditivity125 cited
  • 2009Procyclical Leverage and Endogenous Risk105 cited
  • 2000Value at risk models for Dutch bond portfolios104 cited
  • 2012Systematic stress tests with entropic plausibility constraints102 cited
  • 2005An analysis of VaR-based capital requirements101 cited
  • 2009Model risk and capital reserves98 cited
  • 2004An optimization approach to the dynamic allocation of economic capital89 cited
  • 2006Accurate value-at-risk forecasting based on the normal-GARCH model86 cited
  • 2008Empirical Evidence on Student-tLog-Returns of Diversified World Stock Indices

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79 cited
  • 2002Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns73 cited