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Cited by

• 2001Analytical value-at-risk with jumps and credit risk158 cited
• 2008Developing a stress testing framework based on market risk models145 cited
• 2014Stress testing banks140 cited
• 2011The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes116 cited
• 2000A coherent framework for stress testing114 cited
• 2012Systematic stress tests with entropic plausibility constraints102 cited
• 2009How to Find Plausible, Severe and Useful Stress Scenarios94 cited
• 2002A guide to choosing absolute bank capital requirements80 cited
• 2001Stress Testing of Financial Systems75 cited
• 2000Value-at-risk: Applying the extreme value approach to Asian markets in the recent financial turmoil73 cited
• 2006Credit risk concentrations under stress65 cited
• 2013Robustness of optimal portfolios under risk and stochastic dominance constraints58 cited
• 2016Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests54 cited
• 2006Selecting Copulas for Risk Management54 cited
• 2014Has the financial system become safer after the crisis? The changing nature of financial institution risk