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Choosing expected shortfall over VaR in Basel III using stochastic dominance. (2019). McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio ; Maasoumi, Esfandiar .
In: International Review of Economics & Finance.
RePEc:eee:reveco:v:60:y:2019:i:c:p:95-113.

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  1. Assessing the importance of the choice threshold in quantifying market risk under the POT approach (EVT). (2023). Navarro, Angeles M ; Lopez-Martin, Carmen ; Benito, Sonia.
    In: Risk Management.
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  2. A Synthetic Data-Plus-Features Driven Approach for Portfolio Optimization. (2023). Cifuentes, Arturo ; Rahimian, Hamed ; Ramirez, Domingo ; Pagnoncelli, Bernardo K.
    In: Computational Economics.
    RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10274-2.

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  3. Risks in emerging markets equities: Time-varying versus spatial risk analysis. (2020). Owusu Junior, Peterson ; Alagidede, Imhotep.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319405.

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  4. Robust risk aggregation with neural networks. (2020). Pohl, Mathias ; Kupper, Michael ; Eckstein, Stephan.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:30:y:2020:i:4:p:1229-1272.

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  5. Risk analysis of energy in Vietnam. (2019). Vo, Duc ; McAleer, Michael ; Duong, Tam Nguyen-Thanh ; Tran, Ngoc Phu.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1914.

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  6. Market Risk Analysis of Energy in Vietnam. (2019). Vo, Duc ; McAleer, Michael ; Tran, Ngoc Phu ; Nguyen, Thang Cong.
    In: Risks.
    RePEc:gam:jrisks:v:7:y:2019:i:4:p:112-:d:283415.

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  7. Risk Analysis of Energy in Vietnam. (2019). Vo, Duc ; McAleer, Michael ; Duong, T. N.-T., ; Tran, N P.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:115616.

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  8. Robust risk aggregation with neural networks. (2019). Pohl, Mathias ; Kupper, Michael ; Eckstein, Stephan.
    In: Papers.
    RePEc:arx:papers:1811.00304.

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  9. Using expected shortfall for credit risk regulation. (2018). Osmundsen, Kjartan Kloster .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:57:y:2018:i:c:p:80-93.

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  47. Expected shortfall and beyond. (2002). Tasche, Dirk.
    In: Journal of Banking & Finance.
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  48. Spectral measures of risk: A coherent representation of subjective risk aversion. (2002). Acerbi, Carlo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:7:p:1505-1518.

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  49. Measures of risk. (2002). Szego, Giorgio .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:7:p:1253-1272.

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  50. Credit Risk Contributions to Value-at-Risk and Expected Shortfall. (2002). Tasche, Dirk ; Kurth, Alexandre .
    In: Papers.
    RePEc:arx:papers:cond-mat/0207750.

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