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What is the Best Risk Measure in Practice? A Comparison of Standard Measures
16 references·16 citing·35 second hopsampled
What is the Best Risk Measure in Practice? A Comparison of Standard Measures (2013)What is the Best Risk Measure in Practice…Probabilistic Forecasting (2014)Probabilistic ForecastingHandbook of Economic Forecasting (2013)Handbook of Economic Forecast…Quantitative Risk Management (2011)Quantitative Risk ManagementMaking and Evaluating Point Forecasts (2011)Making and Evaluating Point F…Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules (2010)Comparing Density Forecasts U…Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Strictly Proper Scoring Rules…Comparing Density Forecasts via Weighted Likelihood Ratio Tests (2007)Comparing Density Forecasts v…On the coherence of expected shortfall (2002)On the coherence of expected …Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Forecasting Economic Time Series (2000)Forecasting Economic Time Ser…Coherent Measures of Risk (1999)Coherent Measures of RiskForecasting Economic Time Series (1998)Forecasting Economic Time Ser…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …Modelling Extremal Events (1997)Modelling Extremal EventsModelling of extremal events in insurance and finance (1994)Modelling of extremal events …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Robustness in the Optimization of Risk Measures (2021)Robustness in the Optimizatio…Dichotomous unimodal compound models: application to the distribution of insurance losses (2020)Dichotomous unimodal compound…PELVE: Probability Equivalent Level of VaR and ES (2019)PELVE: Probability Equivalent…Valuing streams of risky cashflows with risk-value models (2018)Valuing streams of risky cash…Characterization, Robustness and Aggregation of Signed Choquet Integrals (2018)Characterization, Robustness …Robust and Pareto optimality of insurance contracts (2017)Robust and Pareto optimality …Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall (2017)Risk quantification for commo…Risk bounds for factor models (2017)Risk bounds for factor modelsQuantile Evaluation, Sensitivity to Bracketing, and Sharing Business Payoffs (2017)Quantile Evaluation, Sensitiv…A Review on Ambiguity in Stochastic Portfolio Optimization (2017)A Review on Ambiguity in Stoc…Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk (2016)Quantifying market risk with …The Axiomatic Approach to Risk Measures for Capital Determination (2015)The Axiomatic Approach to Ris…Risk measures with the CxLS property (2015)Risk measures with the CxLS p…MODEL UNCERTAINTY AND SCENARIO AGGREGATION (2015)MODEL UNCERTAINTY AND SCENARI…How Superadditive Can a Risk Measure Be? (2015)How Superadditive Can a Risk …Backtesting Expected Shortfall: Accounting for Tail Risk (2015)Backtesting Expected Shortfal…An Introduction to Copulas (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Extreme Values, Regular Variation and Point Processes (1987)Top Incomes in the Long Run of History (2011)Time Series Analysis: Forecasting and Control (1977)Macroeconomics and Reality (1980)Statistical analysis of cointegration vectors (1988)Chapter 4 Forecast Combinations (2006)Carbon Tail Risk (2018)Empirical Asset Pricing via Machine Learning (2020)Elicitation of Personal Probabilities and Expectations (1971)Comparing Predictive Accuracy (1994)Probabilistic Forecasts, Calibration and Sharpness (2007)Generación de series de tiempo financieras sintéticas para "data augmentation" usando redes neuronales generativas adversarias (GAN) (2021)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)ARCH modeling in finance (1992)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Modeling and Forecasting Realized Volatility (2001)Testing Density Forecasts, With Applications to Risk Management (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)An Almost Ideal Demand System (1980)Empirical exchange rate models of the seventies (1983)Generalized autoregressive conditional heteroskedasticity (1986)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? 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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2007Strictly Proper Scoring Rules, Prediction, and Estimation5,771 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2000Forecasting Economic Time Series1,768 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 2013Handbook of Economic Forecasting1,216 cited
  • 2011Making and Evaluating Point Forecasts1,159 cited
  • 2011Quantitative Risk Management985 cited
  • 2014Probabilistic Forecasting901 cited
  • 1998Forecasting Economic Time Series863 cited
  • 2007Comparing Density Forecasts via Weighted Likelihood Ratio Tests519 cited
  • 2010Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules510 cited

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  • 2018Characterization, Robustness and Aggregation of Signed Choquet Integrals75 cited
  • 2017Robust and Pareto optimality of insurance contracts74 cited
  • 2015Risk measures with the CxLS property58 cited
  • 2015The Axiomatic Approach to Risk Measures for Capital Determination55 cited
  • 2016Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk53 cited
  • 2017Risk bounds for factor models48 cited
  • 2017Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall41 cited
  • 2017A Review on Ambiguity in Stochastic Portfolio Optimization40 cited
  • 2017Quantile Evaluation, Sensitivity to Bracketing, and Sharing Business Payoffs40 cited
  • 2015Backtesting Expected Shortfall: Accounting for Tail Risk39 cited
  • 2015MODEL UNCERTAINTY AND SCENARIO AGGREGATION39 cited
  • 2020Dichotomous unimodal compound models: application to the distribution of insurance losses39 cited
  • 2018Valuing streams of risky cashflows with risk-value models38 cited
  • 2019PELVE: Probability Equivalent Level of VaR and ES35 cited
  • 2021Robustness in the Optimization of Risk Measures34 cited
  • 2015How Superadditive Can a Risk Measure Be?32 cited