Nothing Special   »   [go: up one dir, main page]
create a website
Loss-Based Risk Measures. (2011). Cont, Rama ; He, Xue Dong ; Deguest, Romain .
In: Working Papers.
RePEc:hal:wpaper:hal-00629929.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 18

References cited by this document

Cocites: 22

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Polish heat pump market between 2000 and 2013: European background, current state and development prospects. (2015). Zimny, Jacek ; Szczotka, Krzysztof ; Michalak, Piotr .
    In: Renewable and Sustainable Energy Reviews.
    RePEc:eee:rensus:v:48:y:2015:i:c:p:791-812.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. A.J. McNeil, R. Frey, P. Embrechts, et al. Quantitative risk management: concepts, techniques, and tools. Princeton University Press, Princeton, NJ, 2005.
    Paper not yet in RePEc: Add citation now
  2. Advances in Mathematical Economics, 7:33â46, June 2005.
    Paper not yet in RePEc: Add citation now

  3. Carlo Acerbi. Coherent measures of risk in everyday market practice. Quantitative Finance, 7(4):359â364, 2007.

  4. Carlo Acerbi. Spectral measures of risk: a coherent representation of subjective risk aversion. Journal of Banking and Finance, 26(7):1505â1518, 2002.

  5. E. Jouini, W. Schachermayer, and N. Touzi. Law invariant risk measures have the Fatou property. Advances in mathematical economics, pages 49â71, 2006.

  6. F.R. Hampel. The inïuence curve and its role in robust estimation. Journal of the American Statistical Association, 69(346):383â393, 1974.
    Paper not yet in RePEc: Add citation now
  7. Freddy Delbaen and Walter Schachermayer. A general version of the fundamental theorem of asset pricing. Mathematische Annalen, 300(1):1432â1807, 1994.
    Paper not yet in RePEc: Add citation now
  8. Freddy Delbaen. Coherent risk measures on general probability spaces. Advances in ïnance and stochastics. Essays in Honour of Dieter Sondermann, pages 1â37, 2002.
    Paper not yet in RePEc: Add citation now
  9. G. H. Hardy, J. E. Littlewood, and G. Polya. Inequalities. Cambridge University Press, Cambridge, 1959. C.C. Heyde, S.G. Kou, and X.H. Peng. External Risk Measures and Basel Accords.
    Paper not yet in RePEc: Add citation now

  10. H. Follmer and A. Schied. Convex measures of risk and trading constraints. Finance and Stochastics, 6(4):429â447, 2002. hal-00629929,version1-7Oct2011 H. Follmer and A. Schied. Stochastic Finance: An Introduction in Discrete Time.

  11. Jeremy Staum. Excess invariance and shortfall risk measures. Working Paper, 2011. hal-00629929,version1-7Oct2011
    Paper not yet in RePEc: Add citation now

  12. M. Frittelli and E. Rosazza Gianin. Putting order in risk measures. Journal of Banking and Finance, 26(7):1473â1486, 2002. Marco Frittelli and Emanuela Rosazza Gianin. Law invariant convex risk measures.

  13. Nicole El Karoui and Claudia Ravanelli. Cash subadditive risk measures and interest rate ambiguity. Mathematical Finance, 19(4):561â590, 2009.
    Paper not yet in RePEc: Add citation now
  14. P.J. Huber. Robust Statistics. Wiley, NJ, 1981.
    Paper not yet in RePEc: Add citation now

  15. Rama Cont, Romain Deguest, and Giacomo Scandolo. Robustness and sensitivity analysis of risk meausurement procedures. Quantitative Finance, 10(6):593â606, 2010.

  16. Robert Jarrow. Put option premiums and Coherent Risk Measures. Mathematical Finance, 12(2):135â142, 2002.

  17. S. Kusuoka. On law invariant coherent risk measures. Advances in Mathematical Economics, 3:83â95, 2001.
    Paper not yet in RePEc: Add citation now

  18. Yongsheng Song and Jia-An Yan. Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders. Insurance: Mathematics and Economics, 45(3):459â465, Dec. 2009.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Adjusted higher-order expected shortfall. (2024). Hu, Taizhong ; Zou, Zhenfeng.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:115:y:2024:i:c:p:1-12.

    Full description at Econpapers || Download paper

  2. Optimal nonparametric estimation of the expected shortfall risk. (2024). Eckstein, Stephan ; Bartl, Daniel.
    In: Papers.
    RePEc:arx:papers:2405.00357.

    Full description at Econpapers || Download paper

  3. Probability equivalent level of Value at Risk and higher-order Expected Shortfalls. (2023). Sut, Laszlo ; Nedenyi, Fanni K ; Barczy, Matyas.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:108:y:2023:i:c:p:107-128.

    Full description at Econpapers || Download paper

  4. Your skin or mine: Ensuring the viability of a central counterparty. (2023). Varadi, Kata ; Friesz, Melinda.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:57:y:2023:i:c:s1566014123000791.

    Full description at Econpapers || Download paper

  5. Probability equivalent level of Value at Risk and higher-order Expected Shortfalls. (2022). Barczy, Matyas ; L'aszl'o S"utH{o}, ; Ned, Fanni K.
    In: Papers.
    RePEc:arx:papers:2202.09770.

    Full description at Econpapers || Download paper

  6. Qualitative robustness of set-valued value-at-risk. (2020). Mastrogiacomo, Elisa ; Crespi, Giovanni Paolo.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:91:y:2020:i:1:d:10.1007_s00186-020-00707-9.

    Full description at Econpapers || Download paper

  7. Unbiased estimation of risk. (2018). Pitera, Marcin ; Schmidt, Thorsten.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:91:y:2018:i:c:p:133-145.

    Full description at Econpapers || Download paper

  8. Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity. (2018). Brandtner, Mario.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:89:y:2018:i:c:p:138-149.

    Full description at Econpapers || Download paper

  9. Mutual Funds Performance Assessment Techniques: Comparative Analysis. (2017). Olkova, Anna E.
    In: Finansovyj žhurnal — Financial Journal.
    RePEc:fru:finjrn:170307:p:85-95.

    Full description at Econpapers || Download paper

  10. Unbiased estimation of risk. (2017). Pitera, Marcin ; Schmidt, Thorsten.
    In: Papers.
    RePEc:arx:papers:1603.02615.

    Full description at Econpapers || Download paper

  11. Investing in Agriculture as an Asset Class. (2015). Wilson, William ; Larsen, Ryan ; Dahl, Bruce ; Chen, Songjiao .
    In: Agribusiness.
    RePEc:wly:agribz:v:31:y:2015:i:3:p:353-371.

    Full description at Econpapers || Download paper

  12. Distortion Risk Measures and Elicitability. (2014). Ziegel, Johanna F. ; Wang, Ruodu.
    In: Papers.
    RePEc:arx:papers:1405.3769.

    Full description at Econpapers || Download paper

  13. Consistent modeling of risk averse behavior with spectral risk measures. (2013). Wachter, Hans Peter ; Mazzoni, Thomas.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:229:y:2013:i:2:p:487-495.

    Full description at Econpapers || Download paper

  14. Loss-based risk measures. (2013). Rama, Cont ; Dong, He Xue ; Romain, Deguest .
    In: Statistics & Risk Modeling.
    RePEc:bpj:strimo:v:30:y:2013:i:2:p:133-167:n:3.

    Full description at Econpapers || Download paper

  15. Loss-Based Risk Measures. (2013). Cont, Rama ; He, Xue Dong ; Deguest, Romain .
    In: Papers.
    RePEc:arx:papers:1110.1436.

    Full description at Econpapers || Download paper

  16. Investing in Agriculture as an Asset Class. (2013). Wilson, William ; Larsen, Ryan ; Dahl, Bruce L. ; Chen, Songjiao .
    In: Agribusiness & Applied Economics Report.
    RePEc:ags:nddaae:147053.

    Full description at Econpapers || Download paper

  17. Data envelopment analysis models of investment funds. (2012). Lamb, John D. ; Tee, Kai-Hong .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:216:y:2012:i:3:p:687-696.

    Full description at Econpapers || Download paper

  18. A Comparison of Traditional and Copula based VaR with Agricultural portfolio. (2012). Mandal, Maitreyi ; Lagerkvist, Carl Johan.
    In: 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington.
    RePEc:ags:aaea12:124387.

    Full description at Econpapers || Download paper

  19. Loss-Based Risk Measures. (2011). Cont, Rama ; He, Xue Dong ; Deguest, Romain .
    In: Working Papers.
    RePEc:hal:wpaper:hal-00629929.

    Full description at Econpapers || Download paper

  20. Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606.

    Full description at Econpapers || Download paper

  21. On the Conditional Value-at-Risk probability-dependent utility function. (2010). Street, Alexandre.
    In: Theory and Decision.
    RePEc:kap:theord:v:68:y:2010:i:1:p:49-68.

    Full description at Econpapers || Download paper

  22. Enterprise-level risk assessment of geographically diversified commercial farms: a copula approach. (2009). Vedenov, Dmitry ; Leatham, David ; Larsen, Ryan.
    In: 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia.
    RePEc:ags:saeana:46763.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-20 07:12:38 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.