SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Risk Measures Based on Benchmark Loss Distributions · Study

ArticleShelves

ArticleRisk Measures Based on Benchmark Loss Distributions

Valeria Bignozzi2017

OA

Articlebronze2017

Risk Measures Based on Benchmark Loss Distributions

Valeria Bignozzi · Matteo Burzoni · Cosimo Munari

29 citations·0/0 files stored·Journal of Risk & Insurance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Risk and Portfolio Optimization Financial Risk and Volatility Modeling Probability and Risk Models

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 29 citations exist upstream.

References

1999Coherent Measures of Risk 2002On the coherence of expected shortfall 2011Making and Evaluating Point Forecasts 2016Stochastic Finance 2010Robustness and sensitivity analysis of risk measurement procedures 2014COHERENCE AND ELICITABILITY 2004Value-at-risk versus expected shortfall: A practical perspective 2005Inf-convolution of risk measures and optimal risk transfer

Cited by

2022Adjusted Expected Shortfall

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2018Risk Functionals With Convex Level Setsarticle · 13 shared references 2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectilesarticle · 12 shared references 2015The Axiomatic Approach to Risk Measures for Capital Determinationreview · 11 shared references 2022Adjusted Expected Shortfallarticle · 11 shared references 2021A Theory for Measures of Tail Riskarticle · 10 shared references 2021Risk Measures: Robustness, Elicitability, and Backtestingreview · 10 shared references

Details

Year2017

Typearticle

Published2017-01-01

VenueJournal of Risk & Insurance

ISSN-L0022-4367

Languageen

Citations29

Files0 public / 0

ShelfRisk and Portfolio Optimization

Identifiers

doi10.1111/jori.12285

openalex_workW3021155972

Links

Imported from OpenAlex (CC0) — nothing here is generated.