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On Haezendonck risk measures
Bellini, Fabio; Rosazza Gianin, Emanuela - In: Journal of banking & finance 32 (2008) 6, pp. 986-994
Persistent link: https://www.econbiz.de/10003733781
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Systematic stress tests on public data
Breuer, Thomas; Summer, Martin - In: Journal of banking & finance 118 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012521044
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Risk models-at-risk
Boucher, Christophe; Daníelsson, Jón; Kouontchou, … - In: Journal of banking & finance 44 (2014), pp. 72-92
Persistent link: https://www.econbiz.de/10010410376
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Systematic stress tests with entropic plausibility constraints
Breuer, Thomas; Csiszár, Imre - In: Journal of banking & finance 37 (2013) 5, pp. 1552-1559
Persistent link: https://www.econbiz.de/10009729051
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Unexpected tails in risk measurement : some international evidence
Tolikas, Konstantinos - In: Journal of banking & finance 40 (2014), pp. 476-493
Persistent link: https://www.econbiz.de/10010404698
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Option-implied objective measures of market risk
Leiss, Matthias; Nax, Heinrich H. - In: Journal of banking & finance 88 (2018), pp. 225-240
Persistent link: https://www.econbiz.de/10011962908
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Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity
Brandtner, Mario - In: Journal of banking & finance 89 (2018), pp. 138-149
Persistent link: https://www.econbiz.de/10011963089
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Unbiased estimation of risk
Pitera, Marcin; Schmidt, Thorsten - In: Journal of banking & finance 91 (2018), pp. 133-145
Persistent link: https://www.econbiz.de/10011963654
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Gini-type measures of risk and variability : gini shortfall, capital allocations, and heavy-tailed risks
Furman, Edward; Wang, Ruodu; Zitikis, Ričardas - In: Journal of banking & finance 83 (2017), pp. 70-84
Persistent link: https://www.econbiz.de/10011816823
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Coherent risk measures alone are ineffective in constraining portfolio losses
Armstrong, John; Brigo, Damiano - In: Journal of banking & finance 140 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10013463123