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Risk tuning with generalized linear regression

Rockafellar, Ralph Tyrrell; Uryasev, Stan; Zabarankin, … - In: Mathematics of operations research 33 (2008) 3, pp. 712-729

Persistent link: https://www.econbiz.de/10003766321

Conditional value-at-risk and average value-at-risk : estimation and asymptotics

Chun, So Yeon; Shapiro, Alex; Uryasev, Stan - In: Operations research 60 (2012) 4, pp. 739-756

Persistent link: https://www.econbiz.de/10009627501

CVaR (superquantile) norm : stochastic case

Mafusalov, Alexander; Uryasev, Stan - In: European journal of operational research : EJOR 249 (2016) 1, pp. 200-208

Persistent link: https://www.econbiz.de/10011435796

Estimation of truncated data samples in operational risk modeling

Ergashev, Bakhodir; Pavlikov, Konstantin; Uryasev, Stan; … - In: The journal of risk and insurance : the journal of the … 83 (2016) 3, pp. 613-640

Persistent link: https://www.econbiz.de/10011561293

CVaR regression based on the relation between CVaR and mixed-quantile quadrangles

Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22

A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a function of some factors. Such regression is called...

Persistent link: https://www.econbiz.de/10012025262

Estimation and asymptotics for buffered probability of exceedance

Mafusalov, Alexander; Shapiro, Alexander; Uryasev, Stan - In: European journal of operational research : EJOR 270 (2018) 3, pp. 826-836

Persistent link: https://www.econbiz.de/10011882603