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2. Systemic Risk Contributions. (2012). Zhou, Hao ; Huang, Xin ; Zhu, Haibin.
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4. Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis. (2010). Zhou, Hao ; Zhu, Haibin ; Huang, Xin.
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5. Assessing Credit Risk in an Agricultural Loan Portfolio. (2009). Pederson, Glenn D. ; Zech, Lyubov .
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1. Adjusted Expected Shortfall. (2020). Munari, Cosimo ; Burzoni, Matteo ; Wang, Ruodu.
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2. The Impact of the Choice of Risk and Dispersion Measure on Procyclicality. (2020). Kratz, Marie ; Brautigam, Marcel.
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3. Quantifying Risk in Traditional Energy and Sustainable Investments. (2019). Mora-Valencia, Andrés ; Garcia-Donato, Gonzalo ; Diaz, Antonio.
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4. A critical review on supply chain risk – Definition, measure and modeling. (2015). Heckmann, Iris ; Comes, Tina ; Nickel, Stefan.
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5. A comparison of Expected Shortfall estimation models. (2015). Righi, Marcelo Brutti ; Ceretta, Paulo Sergio.
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6. Stochastic linear programming games with concave preferences. (2015). Uhan, Nelson A..
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7. Comparative and qualitative robustness for law-invariant risk measures. (2014). Schied, Alexander ; Kratschmer, Volker ; Zahle, Henryk.
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8. Optimal risk transfer under quantile-based risk measurers. (2013). Badescu, Alexandru M. ; Verdonck, Tim ; Asimit, Alexandru V..
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9. Set-valued average value at risk and its computation. (2013). Hamel, Andreas H. ; Yankova, Mihaela ; Rudloff, Birgit.
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10. The connection between distortion risk measures and ordered weighted averaging operators. (2012). Merigó, José M. ; Guillen, Montserrat ; Belles-Sampera, Jaume ; Santolino, Miguel ; Merigo, Jose M..
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11. Systemic risk contributions: a credit portfolio approach. (2011). Tente, Natalia ; Dullmann, Klaus ; Puzanova, Natalia .
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12. Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics. (2011). Shapiro, Alexander ; Chun, So Yeon ; Uryasev, Stan.
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13. Extreme value theory for finance: a survey. (2011). Rocco, Marco .
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14. Saddlepoint methods in portfolio theory. (2011). Martin, Richard J.
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15. Portfolio selection problems in practice: a comparison between linear and quadratic optimization models. (2011). Scozzari, Andrea ; Cesarone, Francesco ; Tardella, Fabio .
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16. On the impossibility of fair risk allocation. (2010). Pintér, Miklós ; Csóka, Péter ; Pinter, Miklos ; Csoka, Peter.
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17. Minimizing Conditional Value-at-Risk under Constraint on Expected Value. (2010). Xu, Mingxin ; Li, Jing.
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18. Behavioral approach to market and default risks modeling. (2009). Taguedong, Sylvain Chamberlain .
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19. TVaR-based capital allocation with copulas. (2009). Marceau, Etienne ; Barges, Mathieu ; Cossette, Helene.
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20. Stable allocations of risk. (2009). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Koczy, Laszlo Á., .
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21. The effect of downside risk reduction on UK equity portfolios included with Managed Futures Funds. (2009). Tee, Kai-Hong .
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22. Regulatory capital for market and credit risk interaction: is current regulation always conservative?. (2008). Summer, Martin ; Rheinberger, Klaus ; Breuer, Thomas ; Jandacka, Martin .
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23. On estimating the conditional expected shortfall. (2008). Peracchi, Franco ; Tanase, Andrei V..
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24. An Econometric Analysis of Financial Data in Risk Management. (2008). Fantazzini, Dean.
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25. Nested simulation in portfolio risk measurement. (2008). Gordy, Michael ; Juneja, Sandeep.
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26. Coherent risk measures, coherent capital allocations and the gradient allocation principle. (2008). Buch, A. ; Dorfleitner, G..
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27. Nonparametric estimation of conditional VaR and expected shortfall. (2008). CAI, ZONGWU ; Wang, Xian.
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28. Portfolio selection with uncertain exit time: A robust CVaR approach. (2008). Fabozzi, Frank ; Huang, Dashan ; Zhu, Shu-Shang ; Fukushima, Masao.
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29. A Bayesian approach to estimate the marginal loss distributions in operational risk management. (2008). Giudici, Paolo ; Dalla Valle, Luciana.
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30. Measuring concentration risk for regulatory purposes. (2007). Vohringer, Clemens ; Hibbeln, Martin ; Gurtler, Marc.
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31. The limits of diversification when losses may be large.. (2007). Walden, Johan ; Ibragimov, Rustam.
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32. Stochastic orders and risk measures: Consistency and bounds. (2006). Müller, Alfred ; Bauerle, Nicole.
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33. Noise sensitivity of portfolio selection under various risk measures. (2006). Kondor, Imre ; Nagy, Gabor ; Pafka, Szilard .
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34. Measuring sectoral diversification in an asymptotic multi-factor framework. (2006). Tasche, Dirk.
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35. Coherent risk measures under filtered historical simulation. (2005). Giannopoulos, Kostas ; Tunaru, Radu.
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36. Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements. (2005). Scaillet, Olivier ; Fermanian, Jean-David.
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37. On the significance of expected shortfall as a coherent risk measure. (2005). Inui, Koji ; Kijima, Masaaki.
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38. Backtesting for risk-based regulatory capital. (2004). Melenberg, Bertrand ; Kerkhof, Jeroen.
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39. VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions. (2003). Malevergne, Yannick ; Sornette, D..
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40. Concave risk measures in international capital regulation. (2003). Kondor, Imre ; Szepessy, Andras ; Ujvarosi, Tunde .
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41. A risk-factor model foundation for ratings-based bank capital rules. (2002). Gordy, Michael.
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42. Expected shortfall and beyond. (2002). Tasche, Dirk.
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43. Spectral measures of risk: A coherent representation of subjective risk aversion. (2002). Acerbi, Carlo.
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44. Measures of risk. (2002). Szego, Giorgio .
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45. Credit Risk Contributions to Value-at-Risk and Expected Shortfall. (2002). Tasche, Dirk ; Kurth, Alexandre .
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46. Portfolio Optimization with Spectral Measures of Risk. (2002). Acerbi, Carlo ; Carlo, Acerbi ; Prospero, Simonetti .
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47. Expected Shortfall and Beyond. (2002). .
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48. Calculating Value-at-Risk contributions in CreditRisk+. (2002). Tasche, Dirk ; Haaf, Hermann .
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49. Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem. (2001). Acerbi, Carlo.
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50. Expected Shortfall: a natural coherent alternative to Value at Risk. (2001). Acerbi, Carlo ; Tasche, Dirk.
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