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Statistics and Quantitative Risk Management for Banking and Insurance
16 references·8 citing·30 second hop
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this work references cited by second hop

References

  • 1921Risk, Uncertainty and Profit9,962 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1999An Introduction to Copulas7,743 cited
  • 1962College Admissions and the Stability of Marriage5,978 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 2009Robust Optimization3,008 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 1962College Admissions and the Stability of Marriage2,082 cited
  • 2004Copula Methods in Finance2,013 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2000On Default Correlation1,257 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2011Making and Evaluating Point Forecasts1,159 cited
  • 2007The t Copula and Related Copulas964 cited

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Cited by

  • 2013Generalized Quantiles as Risk Measures58 cited
  • 2015The Axiomatic Approach to Risk Measures for Capital Determination55 cited
  • 2018Extreme M-quantiles as risk measures: From $L^{1}$ to $L^{p}$ optimization42 cited
  • 2014On multivariate extensions of the conditional Value-at-Risk measure29 cited
  • 2020Estimating portfolio risk for tail risk protection strategies26 cited
  • 2016Unbiased Estimation of Risk25 cited
  • 2017Robust normal mixtures for financial portfolio allocation25 cited
  • 2013Consistency of Risk Measure Estimates25 cited