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Decision making with Expected Shortfall and spectral risk measures : the problem of comparative risk aversion
Brandtner, Mario; Kürsten, Wolfgang - In: Journal of banking & finance 58 (2015), pp. 268-280
Persistent link: https://www.econbiz.de/10011544006
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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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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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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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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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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
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The gradient allocation principle based on the higher moment risk measure
Gómez, Fabio; Tang, Qihe; Tong, Zhiwei - In: Journal of banking & finance 143 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013530990
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Back to the future : backtesting systemic risk measures during historical bank runs and the great depression
Brownlees, Christian; Chabot, Ben; Ghysels, Eric; Kurz, … - In: Journal of banking & finance 113 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012226121
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An evaluation of bank measures for market risk before, during and after the financial crisis
O'Brien, James M.; Szerszeń, Paweł J. - In: Journal of banking & finance 80 (2017), pp. 215-234
Persistent link: https://www.econbiz.de/10011816277
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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