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Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization. (2002). Yoshiba, Toshinao ; Yamai, Yasuhiro .
In: Monetary and Economic Studies.
RePEc:ime:imemes:v:20:y:2002:i:1:p:87-121.

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  2. DeepVaR: a framework for portfolio risk assessment leveraging probabilistic deep neural networks. (2023). Soldatos, John ; Kotios, Dimitrios ; Makridis, Georgios ; Fatouros, Georgios ; Kyriazis, Dimosthenis ; Filippakis, Michael.
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  3. The Generalised Pareto Distribution Model Approach to Comparing Extreme Risk in the Exchange Rate Risk of BitCoin/US Dollar and South African Rand/US Dollar Returns. (2023). Chikobvu, Delson ; Ndlovu, Thabani.
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  4. Value-at-Risk (VAR) Estimation Methods: Empirical Analysis based on BRICS Markets. (2022). Safer, Imene ; ben Salem, Ameni ; Khefacha, Islem.
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  5. Value at Risk Estimation For the BRICS Countries : A Comparative Study. (2021). KHEFACHA, ISLEM ; Safer, Imene ; ben Salem, Ameni.
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  18. 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 .
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  20. Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki.
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  30. Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors. (2017). Nesmith, Travis ; Oh, Donghwan ; Dobrev, Dobrislav.
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  37. A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?. (2015). McAleer, Michael ; Maasoumi, Esfandiar ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio.
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