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1. Acerbi, C., Tasche, D. (2002): On the coherence of Expected Shortfall.

2. Andersson, F., Mausser, H., Rosen, D., Uryasev, 5. (2001): Credit Risk Optimization with Conditional Value-at-Risk Criterion. Mathematical Programming, Series B, Vol. 89, No. 2, P. 273-29 1.
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3. Dunkel, Jörn, Weber, Stefan (2005) Efficient Monte Carlo Methods for Convex Risk Measures in Portfolio Credit Risk Models. Working Paper, Columbia University.
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4. Glasserman Paul (2005): Measuring Marginal Risk Contributions in Credit Portfolios. Working Paper, Columbia Business School.
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5. Glasserman, Paul, (2003): Monte Carlo Methods in Financial Engineering. Spinger, New York.
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6. Glasserman, Paul, Li, Jingyi (2005): Importance Sampling for Portfolio Credit Risk.

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8. Rockafellar, R.T, Uryasev, 5. (2001): Optimization of Conditional Value-at-Risk. The Journal of Risk, Vol.2, No.3, P.21-41.
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9. Rockafellar, R.T, Uryasev, 5. (2002): Conditional Value-at-Risk for general loss distributions.

10. Szegö, Giorgio (2002): Measures of Risk, Journal of Banking and Finance. Vol. 26, No. 7, P. 1253- 1272.
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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. Stochastic linear programming games with concave preferences. (2015). Uhan, Nelson A..
   In: European Journal of Operational Research.
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5. Comparative and qualitative robustness for law-invariant risk measures. (2014). Schied, Alexander ; Kratschmer, Volker ; Zahle, Henryk.
   In: Papers.
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6. Optimal risk transfer under quantile-based risk measurers. (2013). Badescu, Alexandru M. ; Verdonck, Tim ; Asimit, Alexandru V..
   In: Insurance: Mathematics and Economics.
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7. Set-valued average value at risk and its computation. (2013). Hamel, Andreas H. ; Yankova, Mihaela ; Rudloff, Birgit.
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8. 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..
   In: IREA Working Papers.
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9. Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics. (2011). Shapiro, Alexander ; Chun, So Yeon ; Uryasev, Stan.
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10. Extreme value theory for finance: a survey. (2011). Rocco, Marco .
    In: Questioni di Economia e Finanza (Occasional Papers).
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11. Saddlepoint methods in portfolio theory. (2011). Martin, Richard J.
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12. On the impossibility of fair risk allocation. (2010). Pintér, Miklós ; Csóka, Péter ; Pinter, Miklos ; Csoka, Peter.
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13. Minimizing Conditional Value-at-Risk under Constraint on Expected Value. (2010). Xu, Mingxin ; Li, Jing.
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14. TVaR-based capital allocation with copulas. (2009). Marceau, Etienne ; Barges, Mathieu ; Cossette, Helene.
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15. Stable allocations of risk. (2009). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Koczy, Laszlo Á., .
    In: Games and Economic Behavior.
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16. The effect of downside risk reduction on UK equity portfolios included with Managed Futures Funds. (2009). Tee, Kai-Hong .
    In: International Review of Financial Analysis.
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17. Regulatory capital for market and credit risk interaction: is current regulation always conservative?. (2008). Summer, Martin ; Rheinberger, Klaus ; Breuer, Thomas ; Jandacka, Martin .
    In: Discussion Paper Series 2: Banking and Financial Studies.
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18. An Econometric Analysis of Financial Data in Risk Management. (2008). Fantazzini, Dean.
    In: Applied Econometrics.
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19. Stable Allocations of Risk. (2008). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Laszlo Á. Koczy, ; Csoka, Peter.
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20. Nested simulation in portfolio risk measurement. (2008). Gordy, Michael ; Juneja, Sandeep.
    In: Finance and Economics Discussion Series.
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21. Nonparametric estimation of conditional VaR and expected shortfall. (2008). CAI, ZONGWU ; Wang, Xian.
    In: Journal of Econometrics.
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22. Portfolio selection with uncertain exit time: A robust CVaR approach. (2008). Fabozzi, Frank ; Huang, Dashan ; Zhu, Shu-Shang ; Fukushima, Masao.
    In: Journal of Economic Dynamics and Control.
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23. A Bayesian approach to estimate the marginal loss distributions in operational risk management. (2008). Giudici, Paolo ; Dalla Valle, Luciana.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:52:y:2008:i:6:p:3107-3127.

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24. Measuring concentration risk for regulatory purposes. (2007). Vohringer, Clemens ; Hibbeln, Martin ; Gurtler, Marc.
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25. Could Regional and Cantonal Banks Reduce Credit Risk through National Diversification?. (2007). Rime, Bertrand .
    In: Swiss Journal of Economics and Statistics (SJES).
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26. Managerial Risk Accounting and Control – A German perspective. (2007). Winter, Peter.
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27. Tradable measure of risk. (2007). Xu, Mingxin ; Vecer, Jan ; Pospisil, Libor .
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28. The limits of diversification when losses may be large.. (2007). Walden, Johan ; Ibragimov, Rustam.
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29. Stable Allocations of Risk. (2007). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Laszlo Á. Koczy, ; Csoka, Peter.
    In: IEHAS Discussion Papers.
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30. A Component GARCH Model with Time Varying Weights. (2007). Storti, Giuseppe ; Bauwens, Luc ; G., STORTI, .
    In: Discussion Papers (ECON - Département des Sciences Economiques).
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31. Weighted V@R and its Properties. (2006). Cherny, A..
    In: Finance and Stochastics.
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32. Don’t Fall from the Saddle: the Importance of Higher Moments of Credit Loss Distributions. (2006). LAMOOT, J. ; Annaert, J. ; LANINE, G. ; Crispiniano Garcia Joao Batista, .
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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33. Tail Conditional Expectation for vector-valued Risks. (2006). Bentahar, Imen ; BEN TAHAR, IMEN .
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34. Coherent Measures of Risk from a General Equilibrium Perspective. (2006). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Koczy, Laszlo ; Csoka, Peter.
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35. Auto-Dependence Structure of Arch-Models: Tail Dependence Coefficients. (2006). Brummelhuis, Raymond.
    In: Birkbeck Working Papers in Economics and Finance.
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36. Reducing Asset Weights Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization. (2006). Tilke, Stephan.
    In: University of Regensburg Working Papers in Business, Economics and Management Information Systems.
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37. Noise sensitivity of portfolio selection under various risk measures. (2006). Kondor, Imre ; Nagy, Gabor ; Pafka, Szilard .
    In: Papers.
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38. Measuring sectoral diversification in an asymptotic multi-factor framework. (2006). Tasche, Dirk.
    In: Papers.
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39. Inverse stochastic dominance constraints and rank dependent expected utility theory. (2005). Ruszczynski, Andrzej ; Dentcheva, Darinka.
    In: GE, Growth, Math methods.
    RePEc:wpa:wuwpge:0503001.

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40. Risk Measure Pricing and Hedging in Incomplete Markets. (2005). Xu, Mingxin.
    In: Finance.
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41. Methodology of measuring performance in alternative investment.. (2005). Nagot, Isabelle ; Bonnet, Alexis .
    In: Cahiers de la Maison des Sciences Economiques.
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42. Coherent risk measures under filtered historical simulation. (2005). Giannopoulos, Kostas ; Tunaru, Radu.
    In: Journal of Banking & Finance.
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43. Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements. (2005). Scaillet, Olivier ; Fermanian, Jean-David.
    In: Journal of Banking & Finance.
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44. On the significance of expected shortfall as a coherent risk measure. (2005). Inui, Koji ; Kijima, Masaaki.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:4:p:853-864.

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45. Optimization of Risk Measures. (2004). Shapiro, Alexander ; Ruszczynski, Andrzej.
    In: Risk and Insurance.
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46. Backtesting for risk-based regulatory capital. (2004). Melenberg, Bertrand ; Kerkhof, Jeroen.
    In: Journal of Banking & Finance.
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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.
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49. Measures of risk. (2002). Szego, Giorgio .
    In: Journal of Banking & Finance.
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50. Credit Risk Contributions to Value-at-Risk and Expected Shortfall. (2002). Tasche, Dirk ; Kurth, Alexandre .
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