1. Strong consistency of tail value-at-risk estimator and corresponding general results under widely orthant dependent samples. (2024). Zhou, Jinyu ; Yan, Jigao ; Cheng, Dongya.
   In: Statistical Papers.
   RePEc:spr:stpapr:v:65:y:2024:i:6:d:10.1007_s00362-023-01525-x.

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2. 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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3. On the use of the terminal-value approach in risk-value models. (2022). Dorfleitner, Gregor.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03644-2.

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4. Generalized Johnson Distributions and Risk Functionals. (2022). Floros, Christos ; Gkillas, Konstantinos ; Kountzakis, Christos.
   In: Mathematics.
   RePEc:gam:jmathe:v:10:y:2022:i:17:p:3200-:d:907150.

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5. The Role of Gender Diversity in Downside Risk: Empirical Evidence from Vietnamese Listed Firms. (2020). Wang, Yi-Hsien ; Phung, Minh-Tuan ; Yang, Fu-Ju ; Tran, Cong-Duc.
   In: Mathematics.
   RePEc:gam:jmathe:v:8:y:2020:i:6:p:933-:d:368534.

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6. On sums of two counter-monotonic risks. (2020). Gadoury, Simon-Pierre ; Chaoubi, Ihsan ; Cossette, Helene ; Marceau, Etienne.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:92:y:2020:i:c:p:47-60.

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7. A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Fringuellotti, Fulvia ; Farkas, Walter ; Tunaru, Radu.
   In: Journal of Corporate Finance.
   RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978.

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8. Managing biological invasions in urban environments with the acceptance sampling approach. (2019). Ryall, Krista ; Koch, Frank H ; Yemshanov, Denys ; Chen, Cuicui ; Venette, Robert ; Haight, Robert G ; Liu, Ning.
   In: PLOS ONE.
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9. A Generalized Error Distribution Copula-based method for portfolios risk assessment. (2019). Panarello, Demetrio ; giacalone, massimiliano ; Cerqueti, Roy.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:524:y:2019:i:c:p:687-695.

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10. Optimizing surveillance strategies for early detection of invasive alien species. (2019). Haight, Robert G ; Venette, Robert C ; Marcotte, Mireille ; Turgeon, Jean J ; Koch, Frank H ; Yemshanov, Denys ; Chen, Yongguang ; Swystun, Tom ; Fournier, Ronald E.
    In: Ecological Economics.
    RePEc:eee:ecolec:v:162:y:2019:i:c:p:87-99.

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11. On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming.
    In: Risks.
    RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249.

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12. Measuring Systemic Risk. (2017). PHILIPPON, Thomas ; Pedersen, Lasse ; Acharya, Viral ; Richardson, Matthew.
    In: The Review of Financial Studies.
    RePEc:oup:rfinst:v:30:y:2017:i:1:p:2-47..

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13. RAROC in portfolio optimization. (2016). Staikouras, Christos ; Xidonas, Panagiotis ; Kountzakis, Christos E ; Hassapis, Christis.
    In: International Journal of Financial Engineering (IJFE).
    RePEc:wsi:ijfexx:v:03:y:2016:i:03:n:s2424786316500225.

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14. Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix. (2016). Pelizzon, Loriana ; Billio, Monica ; Frattarolo, Lorenzo.
    In: Working Papers.
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15. Tail variance of portfolio under generalized Laplace distribution. (2016). Yang, Yu-Kuan ; Peng, Hong-Yi ; Jiang, Chun-Fu.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:282:y:2016:i:c:p:187-203.

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16. Model Risk in Financial Markets:From Financial Engineering to Risk Management. (2015). Tunaru, Radu.
    In: World Scientific Books.
    RePEc:wsi:wsbook:9524.

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17. Option overlay strategies. (2015). Sharaiha, Yazid M ; Madan, Dilip B.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:15:y:2015:i:7:p:1175-1190.

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18. Governance mechanisms and downside risk. (2015). Wang, Li-Hsun ; Fung, Hung-Gay ; Chen, Hsien-Ming ; Lin, Chu-Hsiung.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:35:y:2015:i:pb:p:485-498.

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19. Value at Risk and expected shortfall of firms in the main European Union stock market indexes: A detailed analysis by economic sectors and geographical situation. (2015). Iglesias, Emma.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:50:y:2015:i:c:p:1-8.

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20. Estimation methods for expected shortfall. (2014). Chan, Stephen ; Nadarajah, Saralees ; Zhang, BO.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:14:y:2014:i:2:p:271-291.

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21. Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions. (2014). Guegan, Dominique ; Hassani, Bertrand.
    In: Post-Print.
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22. When the U.S. Stock Market Becomes Extreme?. (2014). Aboura, Sofiane.
    In: Risks.
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23. Risk models–at–risk. (2014). Maillet, Bertrand ; Danielsson, Jon ; Kouontchou, Patrick S. ; Boucher, Christophe M..
    In: LSE Research Online Documents on Economics.
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24. Risk models-at-risk. (2014). Maillet, Bertrand ; Danielsson, Jon ; Kouontchou, Patrick S. ; Boucher, Christophe M..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:44:y:2014:i:c:p:72-92.

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25. Learning by Failing: A Simple VaR Buffer. (2013). Boucher, Christophe M ; Maillet, Bertrand B.
    In: Financial Markets, Institutions & Instruments.
    RePEc:wly:finmar:v:22:y:2013:i:2:p:113-127.

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26. Ranking of VaR and ES Models: Performance in Developed and Emerging Markets. (2013). Žiković, Saša ; Filer, Randall ; IKOVIa, Saa .
    In: Czech Journal of Economics and Finance (Finance a uver).
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27. Quantifying the uncertainty in VaR and expected shortfall estimates. (2013). Stanescu, Silvia ; Tunaru, Radu.
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28. Pricing in Microinsurance Markets. (2013). Biener, Christian.
    In: World Development.
    RePEc:eee:wdevel:v:41:y:2013:i:c:p:132-144.

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29. Estimation of multiple period expected shortfall and median shortfall for risk management. (2012). Mike K. P. So, ; Wong, Chi-Ming .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:12:y:2012:i:5:p:739-754.

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30. Risk management in the energy markets and Value-at-Risk modelling: a Hybrid approach. (2012). Nomikos, Nikos ; Andriosopoulos, Kostas.
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31. Systemic Risk Contributions. (2012). Zhou, Hao ; Huang, Xin ; Zhu, Haibin.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:42:y:2012:i:1:p:55-83.

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32. Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis. (2012). Zhou, Hao ; Huang, Xin ; Zhu, Haibin.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:8:y:2012:i:3:p:193-205.

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33. Modelling energy spot prices: Empirical evidence from NYMEX. (2012). Nomikos, Nikos ; Andriosopoulos, Kostas.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:4:p:1153-1169.

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34. Ranking of VaR and ES Models: Performance in Developed and Emerging Markets. (2012). Žiković, Saša ; Filer, Randall ; Zikovic, Sasa.
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35. Systemic risk contributions. (2011). Zhou, Hao ; Huang, Xin ; Zhu, Haibin.
    In: Finance and Economics Discussion Series.
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36. Nonlinearly weighted convex risk measure and its application. (2011). Chen, Zhiping ; Yang, LI.
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37. Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis. (2010). Zhou, Hao ; Huang, Xin ; Zhu, Haibin.
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38. A framework for assessing the systemic risk of major financial institutions. (2009). Zhou, Hao ; Huang, Xin ; Zhu, Haibin.
    In: Finance and Economics Discussion Series.
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39. A framework for assessing the systemic risk of major financial institutions. (2009). Zhou, Hao ; Huang, Xin ; Zhu, Haibin.
    In: Journal of Banking & Finance.
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40. Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets. (2009). Žiković, Saša ; Filer, Randall ; Zikovic, Sasa.
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41. Optimal Reinsurance Arrangements Under Tail Risk Measures. (2009). Tian, Weidong ; Bernard, Carole.
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    RePEc:bla:jrinsu:v:76:y:2009:i:3:p:709-725.

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42. A Framework for Assessing the Systemic Risk of Major Financial Institutions. (2009). Zhou, Hao ; Huang, Xin ; Zhu, Haibin.
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43. Optimal reinsurance under VaR and CTE risk measures. (2008). Zhang, YI ; Tan, Ken Seng ; Cai, Jun ; Weng, Chengguo.
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    RePEc:eee:insuma:v:43:y:2008:i:1:p:185-196.

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44. Measuring financial risk : comparison of alternative procedures to estimate VaR and ES. (2008). Ruiz, Esther ; Nieto, Maria Rosa.
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45. Backtesting VaR Models: A Τwo-Stage Procedure. (2007). Degiannakis, Stavros ; Angelidis, Timotheos.
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46. Backtesting VaR Models: A Τwo-Stage Procedure. (2007). Degiannakis, Stavros ; Angelidis, Timotheos.
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47. Filtered Extreme Value Theory for Value-At-Risk Estimation. (2007). Ozun, Alper ; Cifter, Atilla ; Yilmazer, Sait.
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48. Backtesting VaR Models: An Expected Shortfall Approach. (2007). Degiannakis, Stavros ; Angelidis, Timotheos.
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49. Risk measurement with equivalent utility principles. (2006). Roger, Laeven ; Rob, Kaas ; Marc, Goovaerts ; Jan, Dhaene ; Michel, Denuit.
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50. VaR is subject to a significant positive bias. (2005). Kijima, Masaaki ; Inui, Koji ; Kitano, Atsushi.
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1. Adjusted Expected Shortfall. (2021). Wang, Ruodu ; Burzoni, Matteo ; Munari, Cosimo.
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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..
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5. Comparative and qualitative robustness for law-invariant risk measures. (2014). Kratschmer, Volker ; Zahle, Henryk ; Schied, Alexander.
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6. Optimal risk transfer under quantile-based risk measurers. (2013). Verdonck, Tim ; Asimit, Alexandru V. ; Badescu, Alexandru M..
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7. Set-valued average value at risk and its computation. (2013). Yankova, Mihaela ; Rudloff, Birgit ; Hamel, Andreas H..
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8. The connection between distortion risk measures and ordered weighted averaging operators. (2012). Merigó, José M. ; Guillen, Montserrat ; Santolino, Miguel ; Merigo, Jose M. ; Belles-Sampera, Jaume.
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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 .
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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 ; Csoka, Peter ; Pinter, Miklos.
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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). Barges, Mathieu ; Cossette, Helene ; Marceau, Etienne.
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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.
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19. Stable Allocations of Risk. (2008). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Csoka, Peter ; Koczy, Laszlo a..
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20. Nested simulation in portfolio risk measurement. (2008). Gordy, Michael ; Juneja, Sandeep.
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21. Nonparametric estimation of conditional VaR and expected shortfall. (2008). CAI, ZONGWU ; Wang, Xian.
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22. Portfolio selection with uncertain exit time: A robust CVaR approach. (2008). Fabozzi, Frank ; Zhu, Shu-Shang ; Fukushima, Masao ; Huang, Dashan.
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23. A Bayesian approach to estimate the marginal loss distributions in operational risk management. (2008). Giudici, Paolo ; Dalla Valle, Luciana.
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24. Measuring concentration risk for regulatory purposes. (2007). Gurtler, Marc ; Vohringer, Clemens ; Hibbeln, Martin.
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25. Could Regional and Cantonal Banks Reduce Credit Risk through National Diversification?. (2007). Rime, Bertrand .
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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). Ibragimov, Rustam ; Walden, Johan.
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29. Stable Allocations of Risk. (2007). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Csoka, Peter ; Koczy, Laszlo a..
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30. A Component GARCH Model with Time Varying Weights. (2007). Storti, Giuseppe ; Bauwens, Luc ; G., STORTI, .
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31. Weighted V@R and its Properties. (2006). Cherny, A..
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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, .
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33. Tail Conditional Expectation for vector-valued Risks. (2006). Bentahar, Imen.
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34. Coherent Measures of Risk from a General Equilibrium Perspective. (2006). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Csoka, Peter ; Koczy, Laszlo .
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35. Auto-Dependence Structure of Arch-Models: Tail Dependence Coefficients. (2006). Brummelhuis, Raymond.
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36. Reducing Asset Weights Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization. (2006). Tilke, Stephan.
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37. Noise sensitivity of portfolio selection under various risk measures. (2006). Kondor, Imre ; Pafka, Szilard ; Nagy, Gabor.
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38. Measuring sectoral diversification in an asymptotic multi-factor framework. (2006). Tasche, Dirk.
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39. Inverse stochastic dominance constraints and rank dependent expected utility theory. (2005). Ruszczynski, Andrzej ; Dentcheva, Darinka.
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40. Risk Measure Pricing and Hedging in Incomplete Markets. (2005). Xu, Mingxin.
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41. Methodology of measuring performance in alternative investment. (2005). Nagot, Isabelle ; Bonnet, Alexis .
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42. Coherent risk measures under filtered historical simulation. (2005). Tunaru, Radu ; Giannopoulos, Kostas.
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43. Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements. (2005). Scaillet, Olivier ; Fermanian, Jean-David.
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44. On the significance of expected shortfall as a coherent risk measure. (2005). Kijima, Masaaki ; Inui, Koji.
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45. Optimization of Risk Measures. (2004). Shapiro, Alexander ; Ruszczynski, Andrzej.
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46. Backtesting for risk-based regulatory capital. (2004). Melenberg, Bertrand ; Kerkhof, Jeroen.
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47. Expected shortfall and beyond. (2002). Tasche, Dirk.
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48. Spectral measures of risk: A coherent representation of subjective risk aversion. (2002). Acerbi, Carlo.
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49. Measures of risk. (2002). Szego, Giorgio.
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50. Credit Risk Contributions to Value-at-Risk and Expected Shortfall. (2002). Tasche, Dirk ; Kurth, Alexandre .
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