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ArticleCoherent risk measures under filtered historical simulation

Kostas Giannopoulos2004

Article2004

Coherent risk measures under filtered historical simulation

Kostas Giannopoulos · Radu Tunaru

57 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1999Coherent Measures of Risk 2002Conditional value-at-risk for general loss distributions 1994Modelling of extremal events in insurance and finance 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 2002On the coherence of expected shortfall 2002Spectral measures of risk: A coherent representation of subjective risk aversion 2002Coherent Risk Measures on General Probability Spaces 2002Putting order in risk measures

Cited by

2020Forecasting value at risk and expected shortfall with mixed data sampling 2004Applying importance sampling for estimating coherent credit risk contributions 2012A detailed comparison of value at risk estimates 2006Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory 2007Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements

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2004Progress in Risk Measurement 1article · 10 shared references 2007Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirementspreprint · 9 shared references 2008Spectral risk measures and portfolio selectionarticle · 8 shared references 2003Conditional value‐at‐risk bounds for compound Poisson risks and anormal approximationarticle · 8 shared references 2006After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measuresarticle · 7 shared references 2010Modeling and optimization of riskarticle · 7 shared references

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Year2004

Typearticle

Published2004-09-30

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations57

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbankfin.2004.08.009

openalex_workW2121407008

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