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A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK
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A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK (2018)A DYNAMIC MODEL OF CENTRAL COUNTERPARTY R…Quantile-Based Risk Sharing (2018)Quantile-Based Risk SharingMultivariate Shortfall Risk Allocation and Systemic Risk (2018)Multivariate Shortfall Risk A…Does OTC derivatives reform incentivize central clearing? (2017)Does OTC derivatives reform i…Central Counterparties (2014)Central CounterpartiesOTC Derivatives: Bilateral Trading & Central Clearing (2013)OTC Derivatives: Bilateral Tr…Stochastic Finance (2011)Stochastic FinanceDynamic Risk Measures (2011)Dynamic Risk MeasuresWeighted V@R and its Properties (2006)Weighted V@R and its Properti…Conditional and dynamic convex risk measures (2005)Conditional and dynamic conve…AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION (2005)AN AXIOMATIC APPROACH TO CAPI…Risk capital allocation by coherent risk measures based on one-sided moments (2003)Risk capital allocation by co…Expected shortfall and beyond (2002)Expected shortfall and beyondCoherent allocation of risk capital (2001)Coherent allocation of risk c…Coherent risk measures (2000)Coherent risk measuresA value for n -person games (1988)A Course in Game Theory (1994)Coherent Measures of Risk (1999)Measuring the systemic importance of interconnected banks (2013)PORTFOLIO SELECTION* (1952)Optimization of conditional value-at-risk (2000)To Split or Not to Split: Capital Allocation with Convex Risk Measures (2007)Optimal Capital Allocation Principles (2011)What is the best risk measure in practice? A comparison of standard measures (2015)Modelling Extremal Events (1997)Conditional value-at-risk for general loss distributions (2002)Robustness and sensitivity analysis of risk measurement procedures (2010)Prices of State-Contingent Claims Implicit in Option Prices (1978)Dual characterization of properties of risk measures on Orlicz hearts (2008)Robust Preferences and Robust Portfolio Choice (2009)The natural Banach space for version independent risk measures (2013)Mathematical methods of game and economic theory (1979)Coherent Risk Measures on General Probability Spaces (2002)Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle (2007)Higher moment coherent risk measures (2007)Spectral risk measures and portfolio selection (2008)Cores of convex games (1971)On law invariant coherent risk measures (2001)Ambiguous chance constrained problems and robust optimization (2005)Inf-convolution of risk measures and optimal risk transfer (2005)Law invariant risk measures have the Fatou property (2007)Backward Stochastic Differential Equations in Finance (1997)Convex measures of risk and trading constraints (2002)Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles (2012)MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS (2014)Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures (2017)Stochastic Finance: An Introduction in Discrete Time (2002)Dynamic exponential utility indifference valuation (2005)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Risk measures via -expectations (2006)Existence of an Equilibrium for a Competitive Economy (1954)Maxmin expected utility with non-unique prior (1989)Insurance with multiple insurers: A game-theoretic approach (2017)An Axiomatic Foundation for the Expected Shortfall (2019)Regression-Based Expected Shortfall Backtesting (2020)OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011)COHERENCE AND ELICITABILITY (2014)Risk management with expectiles (2015)
this work references cited by second hop

References

  • 2011Stochastic Finance424 cited
  • 2001Coherent allocation of risk capital422 cited
  • 2002Expected shortfall and beyond408 cited
  • 2005Conditional and dynamic convex risk measures356 cited
  • 2000Coherent risk measures308 cited
  • 2005AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION290 cited
  • 2018Quantile-Based Risk Sharing152 cited
  • 2003Risk capital allocation by coherent risk measures based on one-sided moments149 cited
  • 2011Dynamic Risk Measures127 cited
  • 2006Weighted V@R and its Properties117 cited
  • 2014Central Counterparties72 cited
  • 2018Multivariate Shortfall Risk Allocation and Systemic Risk63 cited
  • 2017Does OTC derivatives reform incentivize central clearing?51 cited
  • 2013OTC Derivatives: Bilateral Trading & Central Clearing29 cited

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