SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Risk Measures Based on Benchmark Loss Distributions
16 references·1 citing·38 second hop
Risk Measures Based on Benchmark Loss Distributions (2017)Risk Measures Based on Benchmark Loss Dis…Quantile-Based Risk Sharing (2018)Quantile-Based Risk SharingElicitability and backtesting: Perspectives for banking regulation (2017)Elicitability and backtesting…Stochastic Finance (2016)Stochastic FinanceRisk management with expectiles (2015)Risk management with expectil…On elicitable risk measures (2015)On elicitable risk measuresComparative and qualitative robustness for law-invariant risk measures (2014)Comparative and qualitative r…COHERENCE AND ELICITABILITY (2014)COHERENCE AND ELICITABILITYAn Academic Response to Basel 3.5 (2014)An Academic Response to Basel…Making and Evaluating Point Forecasts (2011)Making and Evaluating Point F…Robustness and sensitivity analysis of risk measurement procedures (2010)Robustness and sensitivity an…Inf-convolution of risk measures and optimal risk transfer (2005)Inf-convolution of risk measu…Value-at-risk versus expected shortfall: A practical perspective (2004)Value-at-risk versus expected…On the coherence of expected shortfall (2002)On the coherence of expected …An Academic Response to Basel II (2001)An Academic Response to Basel…Coherent Measures of Risk (1999)Coherent Measures of RiskExpected Shortfall is jointly elicitable with Value at Risk - Implications for backtestingExpected Shortfall is jointly…Adjusted Expected Shortfall (2022)Adjusted Expected ShortfallAn Overview of Value at Risk (1997)Modelling Extremal Events (1997)Modeling and Forecasting Realized Volatility (2003)Theory of rational option pricing (2005)Lectures on Stochastic Programming (2009)Convex measures of risk and trading constraints (2002)Stochastic Finance: An Introduction in Discrete Time (2002)An example of indifference prices under exponential preferences (2004)Conditional and dynamic convex risk measures (2005)OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS (2008)Modelling of extremal events in insurance and finance (1994)Are capital buffers pro-cyclical? (2003)The Procyclical Effects of Bank Capital Regulation (2012)Quantifying Distributional Model Risk via Optimal Transport (2019)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Probabilistic Forecasting (2014)Retail forecasting: Research and practice (2019)Forecasting: theory and practice (2022)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Generalized quantiles as risk measures (2013)What is the best risk measure in practice? A comparison of standard measures (2015)Higher order elicitability and Osband’s principle (2016)An Introduction to Copulas (1999)An Introduction to Statistical Modeling of Extreme Values (2001)A framework for assessing the systemic risk of major financial institutions (2009)Systemic Risk Contributions (2011)Measuring Systemic Risk (2016)Optimization of conditional value-at-risk (2000)Lectures on Stochastic Programming: Modeling and Theory (2009)Conditional value-at-risk for general loss distributions (2002)Entropic Value-at-Risk: A New Coherent Risk Measure (2011)The fundamental principles of financial regulation (2009)MACROPRUDENTIAL POLICY – A LITERATURE REVIEW (2010)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)Generalized deviations in risk analysis (2005)Deep hedging (2019)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 2011Making and Evaluating Point Forecasts1,159 cited
  • 2016Stochastic Finance395 cited
  • 2010Robustness and sensitivity analysis of risk measurement procedures377 cited
  • 2014COHERENCE AND ELICITABILITY361 cited
  • 2004Value-at-risk versus expected shortfall: A practical perspective358 cited
  • 2005Inf-convolution of risk measures and optimal risk transfer295 cited
  • 2001An Academic Response to Basel II282 cited
  • 2014An Academic Response to Basel 3.5236 cited
  • 2015Risk management with expectiles223 cited
  • 2017Elicitability and backtesting: Perspectives for banking regulation204 cited
  • 2015On elicitable risk measures193 cited
  • 2014Comparative and qualitative robustness for law-invariant risk measures159 cited
  • 2018Quantile-Based Risk Sharing152 cited
  • n.d.Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting143 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Cited by

  • 2022Adjusted Expected Shortfall27 cited