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Systematic stress tests with entropic plausibility constraints
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Systematic stress tests with entropic plausibility constraints (2012)Systematic stress tests with entropic pla…The amendment to the capital accord to incorporate market risk (2013)The amendment to the capital …Quantitative Risk Management (2012)Quantitative Risk ManagementQuantitative Risk Management (2011)Quantitative Risk ManagementBasel Committee On Banking Supervision (2010)Basel Committee On Banking Su…How to Find Plausible, Severe and Useful Stress Scenarios (2009)How to Find Plausible, Severe…Doubts or variability? (2009)Doubts or variability?Stress-Testing Financial Systems: An Overview of Current Methodologies (2007)Stress-Testing Financial Syst…Robustness (2007)RobustnessIntroduction to Applied Stress Testing (2007)Introduction to Applied Stres…Ambiguous Risk Measures and Optimal Robust Portfolios (2007)Ambiguous Risk Measures and O…Coherent Risk Measures on General Probability Spaces (2002)Coherent Risk Measures on Gen…Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and Fsap Experiences (2001)Stress Testing of Financial S…A coherent framework for stress testing (2000)A coherent framework for stre…Stress Testing in a Value at Risk Framework (1998)Stress Testing in a Value at …Calibrating volatility surfaces via relative-entropy minimization (1997)Calibrating volatility surfac…Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model (1996)Managing the volatility risk …Uncertainty Quantification for Markov Processes via Variational Principles and Functional Inequalities (2020)Uncertainty Quantification fo…Entropy based risk measures (2019)Entropy based risk measuresExtreme risk modeling: An EVT–pair-copulas approach for financial stress tests (2016)Extreme risk modeling: An EVT…MODEL UNCERTAINTY AND SCENARIO AGGREGATION (2015)MODEL UNCERTAINTY AND SCENARI…MEASURING DISTRIBUTION MODEL RISK (2013)MEASURING DISTRIBUTION MODEL …Modeling Credit Contagion Via the Updating of Fragile Beliefs (2011)Modeling Credit Contagion Via…Cores of convex games (1971)Modelling Extremal Events (1997)Coherent Measures of Risk (1999)On law invariant coherent risk measures (2001)Putting order in risk measures (2002)Generalized deviations in risk analysis (2005)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2009)The Market Price of Fiscal Uncertainty (2011)Modeling Credit Contagion via the Updating of Fragile Beliefs (2015)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Bank Runs, Deposit Insurance, and Liquidity (1983)New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability (2007)Macroeconomic Determinants of Bad Loans: Evidence from Italian Banks (2011)Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward (2011)The Entropy Law and the Economic Process (1971)The Entropy Law and the Economic Process. (1973)Option pricing: A simplified approach (1979)Option-Implied Risk-Neutral Distributions and Implied Binomial Trees (1999)Asymptotics and calibration of local volatility models (2002)Robust risk measurement and model risk (2013)An Introduction to Statistical Modeling of Extreme Values (2001)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)A Theory of the Term Structure of Interest Rates (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)The risk management of nothing (2009)Does Competition Reduce the Risk of Bank Failure? (2010)Markets: The Credit Rating Agencies (2010)The theory and practice of financial stability (1996)Developing a stress testing framework based on market risk models (2008)Model risk of risk models (2016)Financial Soundness Indicators: Analytical Aspects and Country Practices (2002)Toward a Framework for Safeguarding Financial Stability (2004)A comparative analysis of macro stress-testing methodologies with application to Finland (2005)Factor copula models for multivariate data (2013)COHERENCE AND ELICITABILITY (2014)Booms, busts and heavy-tails: The story of Bitcoin and cryptocurrency markets? (2018)Robust portfolios: contributions from operations research and finance (2009)An Academic Response to Basel 3.5 (2014)Robust Decision Making (RDM) (2019)
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References

  • 2010Basel Committee On Banking Supervision1,591 cited
  • 2011Quantitative Risk Management985 cited
  • 2002Coherent Risk Measures on General Probability Spaces753 cited
  • 2007Robustness430 cited
  • 2012Quantitative Risk Management374 cited
  • 2013The amendment to the capital accord to incorporate market risk283 cited
  • 1997Calibrating volatility surfaces via relative-entropy minimization249 cited
  • 2007Stress-Testing Financial Systems: An Overview of Current Methodologies225 cited
  • 2009Doubts or variability?181 cited
  • 2001Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and Fsap Experiences177 cited
  • 2007Ambiguous Risk Measures and Optimal Robust Portfolios165 cited
  • 1998Stress Testing in a Value at Risk Framework161 cited
  • 1996Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model146 cited
  • 2007Introduction to Applied Stress Testing130 cited
  • 2000A coherent framework for stress testing114 cited
  • 2009How to Find Plausible, Severe and Useful Stress Scenarios

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Cited by

  • 2013MEASURING DISTRIBUTION MODEL RISK81 cited
  • 2016Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests54 cited
  • 2019Entropy based risk measures50 cited
  • 2015MODEL UNCERTAINTY AND SCENARIO AGGREGATION39 cited
  • 2011Modeling Credit Contagion Via the Updating of Fragile Beliefs34 cited
  • 2020Uncertainty Quantification for Markov Processes via Variational Principles and Functional Inequalities15 cited