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Value at risk and expected shortfall based on Gram-Charlier-like expansions
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Value at risk and expected shortfall based on Gram-Charlier-like expansions (2018)Value at risk and expected shortfall base…The Econometric Modelling of Financial Time Series (2008)The Econometric Modelling of …Encyclopedia of Actuarial Science (2006)Encyclopedia of Actuarial Sci…Risk measures for the 21st century (2004)Risk measures for the 21st ce…A Dependence Metric for Possibly Nonlinear Processes (2004)A Dependence Metric for Possi…Tail Conditional Expectations for Elliptical Distributions (2003)Tail Conditional Expectations…On the coherence of expected shortfall (2002)On the coherence of expected …Entropy and predictability of stock market returns (2002)Entropy and predictability of…Convex measures of risk and trading constraints (2002)Convex measures of risk and t…Conditional value-at-risk: optimization algorithms and applications (2002)Conditional value-at-risk: op…Gram–Charlier densities (2001)Gram–Charlier densitiesEstimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…The Dutch Triangle (1999)The Dutch TriangleCoherent Measures of Risk (1999)Coherent Measures of RiskTechniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications (1989)Seminonparametric Estimation …Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …Portfolio Selection (1952)Optimization of conditional value-at-risk (2000)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Optimization Methods in Finance (2006)Selection of resilient supply portfolio under disruption risks (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)The equity premium: A puzzle (1985)A Capital Asset Pricing Model with Time-Varying Covariances (1988)An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications (1995)International asset allocation under regime switching, skew, and kurtosis preferences (2008)Measuring and Modeling Variation in the Risk-Return Trade-off (2010)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)Quantitative Risk Management (2011)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Capital Allocation for Insurance Companies (2001)Correlation and Dependence (2001)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Hierarchical Insurance Claims Modeling (2008)Optimal Capital Allocation Principles (2011)Aspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)Time-inconsistent Preferences and Consumer Self-Control (1991)A Cross-Cultural Study on Escalation of Commitment Behavior in Software Projects1 (2000)The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations (2007)Theory of games and economic behavior (2019)Value-at-risk versus expected shortfall: A practical perspective (2004)DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (2007)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Putting order in risk measures (2002)Distributionally Robust Optimization and Its Tractable Approximations (2010)Distributionally Robust Convex Optimization (2014)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 1989Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications440 cited
  • 2003Tail Conditional Expectations for Elliptical Distributions386 cited
  • 2002Conditional value-at-risk: optimization algorithms and applications382 cited
  • 2004Risk measures for the 21st century329 cited
  • 2002Entropy and predictability of stock market returns293 cited
  • 2001Gram–Charlier densities265 cited
  • 2006Encyclopedia of Actuarial Science258 cited
  • 2004A Dependence Metric for Possibly Nonlinear Processes247 cited
  • 1999The Dutch Triangle199 cited
  • 2008The Econometric Modelling of Financial Time Series

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