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Lambda Value at Risk and Regulatory Capital: A Dynamic Approach to Tail Risk. (2018). Mateus, Cesario ; Peri, Ilaria ; Hitaj, Asmerilda.
In: Risks.
RePEc:gam:jrisks:v:6:y:2018:i:1:p:17-:d:134856.

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  1. Deconstructing systemic risk: A reverse stress testing approach.. (2021). Ojea-Ferreiro, Javier.
    In: CNMV Working Papers.
    RePEc:cnv:wpaper:dt_74en.

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  2. An axiomatization of $\Lambda$-quantiles. (2021). Peri, Ilaria ; Bellini, Fabio.
    In: Papers.
    RePEc:arx:papers:2109.02360.

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  3. Risk contributions of lambda quantiles. (2021). Pesenti, Silvana ; Peri, Ilaria ; Ince, Akif.
    In: Papers.
    RePEc:arx:papers:2106.14824.

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  4. A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations. (2018). Pfeuffer, Marius ; Moser, Thorsten ; Fischer, Matthias.
    In: Risks.
    RePEc:gam:jrisks:v:6:y:2018:i:4:p:142-:d:188842.

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References

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