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Stress testing for VaR and CVaR
16 references·0 citing·35 second hop
Stress testing for VaR and CVaR (2007)Stress testing for VaR and CVaRRisk measures for the 21st century (2004)Risk measures for the 21st ce…Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Worst-Case Value-At-Risk and …Stability of Stochastic Programming Problems (2003)Stability of Stochastic Progr…A Heuristic for Moment-Matching Scenario Generation (2003)A Heuristic for Moment-Matchi…Risk Management: Value at Risk and Beyond (2002)Risk Management: Value at Ris…On the coherence of expected shortfall (2002)On the coherence of expected …Dual Stochastic Dominance and Related Mean-Risk Models (2002)Dual Stochastic Dominance and…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Generating Scenario Trees for Multistage Decision Problems (2001)Generating Scenario Trees for…Credit risk optimization with Conditional Value-at-Risk criterion (2001)Credit risk optimization with…Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Some Remarks on the Value-at-…Probabilistic Constrained Optimization (2000)Probabilistic Constrained Opt…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Worldwide asset and liability modeling (1998)Worldwide asset and liability…Axiomatic characterization of insurance prices (1997)Coherent Measures of Risk (1999)Lectures on Stochastic Programming (2009)An Introduction to Copulas (1999)Extreme Correlation of International Equity Markets (2001)The distribution of realized stock return volatility (2001)The Econometrics of Financial Markets (2012)Simulating Multivariate Nonnormal Distributions (1983)Formulation of the Russell-Yasuda Kasai Financial Planning Model (1998)Evaluation of scenario-generation methods for stochastic programming (2003)Scenario tree modeling for multistage stochastic programs (2007)Monte Carlo sampling-based methods for stochastic optimization (2014)Global Portfolio Optimization (1992)Martingale Methods in Financial Modelling (1997)Robust Portfolio Selection Problems (2003)Theory and Applications of Robust Optimization (2011)Distributionally Robust Convex Optimization (2014)Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations (2017)Optimization of Convex Risk Functions (2006)Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009)American Economic Review (2019)Portfolio Selection: Efficient Diversification of Investments (1959)Exceptional Paper—Probability Encoding in Decision Analysis (1975)Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse (1991)The design of robust value-creating supply chain networks: A critical review (2009)A framework for sensitivity analysis of decision trees (2017)Supply chain network design under uncertainty: A comprehensive review and future research directions (2017)PORTFOLIO SELECTION* (1952)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Lectures on Stochastic Programming: Modeling and Theory (2009)Measuring Market Risk (2005)Institutional Investors and Stock Market Volatility (2006)The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)
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References

  • 2000Optimization of conditional value-at-risk6,722 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
  • 2000Stable Paretian Models in Finance718 cited
  • 2001Generating Scenario Trees for Multistage Decision Problems674 cited
  • 2003Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach663 cited
  • 2002Dual Stochastic Dominance and Related Mean-Risk Models496 cited
  • 2003A Heuristic for Moment-Matching Scenario Generation409 cited
  • 1998Worldwide asset and liability modeling374 cited
  • 2000Probabilistic Constrained Optimization364 cited
  • 2002Risk Management: Value at Risk and Beyond349 cited
  • 2004Risk measures for the 21st century329 cited
  • 2001Credit risk optimization with Conditional Value-at-Risk criterion295 cited
  • 2003Stability of Stochastic Programming Problems

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