Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme

6 references·15 citing·33 second hop

FromToDepth

this work references cited by second hop

References

2004Statistics of Extremes1,787 cited
2006Extreme Value Theory : An Introduction1,564 cited
2006Extreme value theory : an introduction1,291 cited
2004Statistics of Extremes: Theory and Applications1,093 cited
2010SRISK: A Conditional Capital Shortfall Measure of Systemic Risk662 cited
2003Tail Conditional Expectations for Elliptical Distributions386 cited

Cited by

2018Systemic risk and bank business models95 cited
2016Multivariate tail conditional expectation for elliptical distributions46 cited
2019Tail expectile process and risk assessment44 cited
2017Risk contagion under regular variation and asymptotic tail independence42 cited
2018Extreme M-quantiles as risk measures: From $L^{1}$ to $L^{p}$ optimization42 cited
2018Financial structure and determinants of systemic risk contribution40 cited
2017A Multivariate Tail Covariance Measure for Elliptical Distributions35 cited
2013Strength of tail dependence based on conditional tail expectation34 cited
2014On multivariate extensions of Conditional-Tail-Expectation33 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2015

Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models

32 cited

2022Machine-Learning-enhanced systemic risk measure: A Two-Step supervised learning approach30 cited

2022Tail Risk Inference via Expectiles in Heavy-Tailed Time Series27 cited

2021Extreme Value Analysis for Financial Risk Management24 cited

2021Systemic risk allocation using the asymptotic marginal expected shortfall21 cited

2017Sovereign debt and systemic risk in the eurozone16 cited