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Shortfall Deviation Risk: An alternative to risk measurement. (2016). Righi, Marcelo ; Ceretta, Paulo Sergio.
In: Papers.
RePEc:arx:papers:1501.02007.

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  1. A risk measurement approach from risk-averse stochastic optimization of score functions. (2025). Mller, Fernanda Maria ; Righi, Marcelo Brutti ; Moresco, Marlon Ruoso.
    In: Insurance: Mathematics and Economics.
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  2. Inf-convolution and optimal risk sharing with countable sets of risk measures. (2024). Righi, Marcelo ; Moresco, Marlon Ruoso.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04593-8.

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  3. Modified Expected Shortfall: a Coherent Risk Measure for Elliptical Family of Distributions. (2023). Variyam, Ramanathan Thekke ; Jadhav, Deepak K.
    In: Sankhya B: The Indian Journal of Statistics.
    RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00294-1.

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  4. Risk measures-based cluster methods for finance. (2023). Righi, Marcelo ; Guedes, Pablo Cristini ; Muller, Fernanda Maria.
    In: Risk Management.
    RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00110-0.

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  5. Horizon-Adaptive Extreme Risk Quantification for Cryptocurrency Assets. (2023). Tzagkarakis, George ; Maurer, Frantz.
    In: Computational Economics.
    RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10300-3.

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  6. Is there a risk premium? Evidence from thirteen measures. (2023). Righi, Marcelo ; Fracasso, Lais Martins ; Ramos, Henrique Pinto ; Muller, Fernanda Maria.
    In: The Quarterly Review of Economics and Finance.
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  7. A risk measurement approach from risk-averse stochastic optimization of score functions. (2023). Righi, Marcelo ; Moresco, Marlon Ruoso ; Muller, Fernanda Maria.
    In: Papers.
    RePEc:arx:papers:2208.14809.

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  8. A theory for combinations of risk measures. (2023). Righi, Marcelo.
    In: Papers.
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  9. Deviation-Based Model Risk Measures. (2022). Righi, Marcelo ; Berkhouch, Mohammed ; Lakhnati, Ghizlane ; Muller, Fernanda Maria.
    In: Computational Economics.
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  10. Risk measure index tracking model. (2022). Righi, Marcelo ; Guedes, Pablo Cristini ; Santanna, Leonardo Riegel ; Muller, Fernanda Maria.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:80:y:2022:i:c:p:361-383.

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  11. Star-Shaped deviations. (2022). Righi, Marcelo ; Moresco, Marlon Ruoso.
    In: Papers.
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  12. Inf-convolution and optimal risk sharing with countable sets of risk measures. (2022). Righi, Marcelo.
    In: Papers.
    RePEc:arx:papers:2003.05797.

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  13. Minkowski gauges and deviation measures. (2021). Righi, Marcelo ; Moresco, Marlon ; Horta, Eduardo.
    In: Papers.
    RePEc:arx:papers:2007.01414.

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  14. On a robust risk measurement approach for capital determination errors minimization. (2020). Righi, Marcelo ; Moresco, Marlon Ruoso ; Muller, Fernanda Maria.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:95:y:2020:i:c:p:199-211.

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  15. Liquidity, implied volatility and tail risk: A comparison of liquidity measures. (2020). Righi, Marcelo ; Ramos, Henrique Pinto.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301071.

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  16. On a robust risk measurement approach for capital determination errors minimization. (2020). Righi, Marcelo.
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  17. A composition between risk and deviation measures. (2019). Righi, Marcelo.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2913-0.

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  18. Mind the tail, or risk to fail. (2019). Chaudhry, Sajid ; Gupta, Jairaj.
    In: Journal of Business Research.
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  19. On a family of risk measures based on proportional hazards models and tail probabilities. (2019). Sordo, Miguel A ; Psarrakos, Georgios.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:86:y:2019:i:c:p:232-240.

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  20. Does size matter in predicting hedge funds liquidation?. (2019). Gupta, Jairaj ; Gregoriou, Andros ; Becam, Adrien.
    In: European Financial Management.
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  21. Numerical comparison of multivariate models to forecasting risk measures. (2018). Righi, Marcelo ; Muller, Fernanda Maria.
    In: Risk Management.
    RePEc:pal:risman:v:20:y:2018:i:1:d:10.1057_s41283-017-0026-8.

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  22. A simulation comparison of risk measures for portfolio optimization. (2018). Righi, Marcelo ; Borenstein, Denis.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:24:y:2018:i:c:p:105-112.

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  23. Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharing. (2018). Stadje, Mitja.
    In: Papers.
    RePEc:arx:papers:1811.09615.

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  24. A composition between risk and deviation measures. (2018). Righi, Marcelo.
    In: Papers.
    RePEc:arx:papers:1511.06943.

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    RePEc:eee:insuma:v:43:y:2008:i:3:p:437-443.

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  25. Risk measurement in the presence of background risk. (2008). Tsanakas, Andreas.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:42:y:2008:i:2:p:520-528.

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  26. Measuring financial risk : comparison of alternative procedures to estimate VaR and ES. (2008). Ruiz, Esther ; Nieto, Maria Rosa.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws087326.

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  27. Multivariate risks and depth-trimmed regions. (2007). Molchanov, Ilya ; Cascos, Ignacio.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:11:y:2007:i:3:p:373-397.

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  28. Dilatation monotone risk measures are law invariant. (2007). Grigoriev, Pavel ; Cherny, Alexander.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:11:y:2007:i:2:p:291-298.

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  29. Estimating financial risk measures for futures positions: a non-parametric approach. (2007). Dowd, Kevin ; cotter, john.
    In: MPRA Paper.
    RePEc:pra:mprapa:3503.

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  30. Exponential Spectral Risk Measures. (2007). Dowd, Kevin ; cotter, john.
    In: MPRA Paper.
    RePEc:pra:mprapa:3499.

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  31. Filtered Extreme Value Theory for Value-At-Risk Estimation. (2007). Ozun, Alper ; Cifter, Atilla ; Yilmazer, Sait.
    In: MPRA Paper.
    RePEc:pra:mprapa:3302.

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  32. The limits of diversification when losses may be large.. (2007). Ibragimov, Rustam ; Walden, Johan.
    In: Scholarly Articles.
    RePEc:hrv:faseco:2624460.

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  33. Stable Allocations of Risk. (2007). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Csoka, Peter ; Koczy, Laszlo a..
    In: CERS-IE WORKING PAPERS.
    RePEc:has:discpr:0704.

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  34. The limits of diversification when losses may be large. (2007). Ibragimov, Rustam ; Walden, Johan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:8:p:2551-2569.

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  35. Coherent measures of risk from a general equilibrium perspective. (2007). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Csoka, Peter ; Koczy, Laszlo a..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:8:p:2517-2534.

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  36. Backtesting VaR Models: An Expected Shortfall Approach. (2007). Degiannakis, Stavros ; Angelidis, Timotheos.
    In: Working Papers.
    RePEc:crt:wpaper:0701.

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  37. Weighted V@R and its Properties. (2006). Cherny, A..
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:10:y:2006:i:3:p:367-393.

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  38. On a relationship between distorted and spectral risk measures. (2006). Mayoral, Silvia ; Gzyl, Henryk ; Henryk, Gzyl.
    In: MPRA Paper.
    RePEc:pra:mprapa:916.

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  39. Coherent Measures of Risk from a General Equilibrium Perspective. (2006). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Csoka, Peter ; Koczy, Laszlo .
    In: CERS-IE WORKING PAPERS.
    RePEc:has:discpr:0611.

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  40. Master funds in portfolio analysis with general deviation measures. (2006). Rockafellar, Tyrrell R. ; Uryasev, Stan ; Zabarankin, Michael.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:2:p:743-778.

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  41. Extreme spectral risk measures: An application to futures clearinghouse margin requirements. (2006). Dowd, Kevin ; cotter, john.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:12:p:3469-3485.

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  42. Multivariate risks and depth-trimmed regions. (2006). Molchanov, Ilya ; Cascos, Ignacio.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws063815.

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  43. Multivariate risks and depth-trimmed regions. (2006). Molchanov, Ilya ; Cascos, Ignacio.
    In: Papers.
    RePEc:arx:papers:math/0606520.

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  44. Methodology of measuring performance in alternative investment. (2005). Nagot, Isabelle ; Bonnet, Alexis .
    In: Cahiers de la Maison des Sciences Economiques.
    RePEc:mse:wpsorb:b05078.

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  45. Coherent risk measures under filtered historical simulation. (2005). Tunaru, Radu ; Giannopoulos, Kostas.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:4:p:979-996.

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  46. Reward-risk portfolio selection and stochastic dominance. (2005). De Giorgi, Enrico.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:4:p:895-926.

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  47. On the significance of expected shortfall as a coherent risk measure. (2005). Kijima, Masaaki ; Inui, Koji.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:4:p:853-864.

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  48. Expected shortfall and beyond. (2002). Tasche, Dirk.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:7:p:1519-1533.

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  49. Measures of risk. (2002). Szego, Giorgio.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:7:p:1253-1272.

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  50. Expected Shortfall and Beyond. (2002). .
    In: Papers.
    RePEc:arx:papers:cond-mat/0203558.

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