Expected shortfall and beyond
暂无分享,去创建一个
[1] W. R. van Zwet,et al. A Strong Law for Linear Functions of Order Statistics , 1980 .
[2] R. Koenker,et al. Robust Tests for Heteroscedasticity Based on Regression Quantiles , 1982 .
[3] D. Schmeidler. Integral representation without additivity , 1986 .
[4] D. Denneberg. Non-additive measure and integral , 1994 .
[5] When do Bond Markets Reward Investors for Interest Rate Risk? , 1996 .
[6] Shaun S. Wang. Premium Calculation by Transforming the Layer Premium Density , 1996, ASTIN Bulletin.
[7] Managing Market Exposure , 1996 .
[8] Robert B. Litterman,et al. Hot Spots™ and Hedges , 1996 .
[9] Freddy Delbaen,et al. A Characterization of Measures of Risk , 1997 .
[10] C. Klüppelberg,et al. Modelling Extremal Events , 1997 .
[11] J. Wirch,et al. A Synthesis of Risk Measures for Capital Adequacy , 1999 .
[12] Gerardo José Lemus Rodriguez. Portfolio optimization with quantile-based risk measures , 1999 .
[13] Toru Maruyama,et al. Advances in Mathematical Economics , 1999 .
[14] Philippe Artzner,et al. Coherent Measures of Risk , 1999 .
[15] Dirk Tasche,et al. Risk contributions and performance measurement , 2000 .
[16] G. Pflug. Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk , 2000 .
[17] R. Rockafellar,et al. Optimization of conditional value-at risk , 2000 .
[18] S. Uryasev. Probabilistic constrained optimization : methodology and applications , 2000 .
[19] Olivier Scaillet,et al. Sensitivity Analysis of Values at Risk , 2000 .
[20] S. Kusuoka. On law invariant coherent risk measures , 2001 .
[21] M. Rogers,et al. Scientific and technological uncertainty, the precautionary principle, scenarios and risk management , 2001 .
[22] D. Tasche,et al. On the coherence of expected shortfall , 2001, cond-mat/0104295.
[23] D. Tasche. Conditional Expectation as Quantile Derivative , 2001, math/0104190.
[24] M. Denault. Coherent allocation of risk capital , 2001 .
[25] Claudio Nordio,et al. Expected Shortfall as a Tool for Financial Risk Management , 2001 .
[26] Marina Marena,et al. Value at Risk Bounds for Portfolios of Non-Normal Returns , 2001 .
[27] R. Rockafellar,et al. Conditional Value-at-Risk for General Loss Distributions , 2001 .
[28] Stanislav Uryasev,et al. Conditional Value-at-Risk for General Loss Distributions , 2002 .
[29] F. Delbaen. Coherent Risk Measures on General Probability Spaces , 2002 .
[30] Alexander Schied,et al. Convex measures of risk and trading constraints , 2002, Finance Stochastics.
[31] Abaxbank,et al. Spectral Measures of Risk : a Coherent Representation of Subjective Risk Aversion , 2002 .
[32] Paul Embrechts,et al. Using copulae to bound the Value-at-Risk for functions of dependent risks , 2003, Finance Stochastics.
[33] Dawn Hunter. Decomposing portfolio value-at-risk: a general analysis , 2003 .
[34] D. Bertsimas,et al. Shortfall as a risk measure: properties, optimization and applications , 2004 .