1. Portfolio Selection under Systemic Risk. (2025). Olmo, Jose ; Lin, Weidong ; Taamouti, Abderrahim.
   In: Journal of Money, Credit and Banking.
   RePEc:wly:jmoncb:v:57:y:2025:i:4:p:905-949.

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2. Inferred Loss Rate as a Credit Risk Measure in the Bulgarian Banking System. (2025). Boutchaktchiev, Vilislav.
   In: Mathematics.
   RePEc:gam:jmathe:v:13:y:2025:i:9:p:1462-:d:1645779.

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3. Reprint of: The capital market consequence of sustained abnormal Audit fees: Evidence from stock price crash risk. (2025). Song, Hakjoon ; Park, Jong Chool ; Lee, Sang Mook.
   In: The British Accounting Review.
   RePEc:eee:bracre:v:57:y:2025:i:1:s0890838925000058.

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4. Trading commodity ETFs: Price behavior, investment insights, and performance analysis. (2024). Nippani, Srinivas ; Hadad, Elroi ; Malhotra, Davinder.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:44:y:2024:i:7:p:1257-1276.

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5. Infinite-mean models in risk management: Discussions and recent advances. (2024). Chen, Yuyu ; Wang, Ruodu.
   In: Papers.
   RePEc:arx:papers:2408.08678.

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6. Risk exchange under infinite-mean Pareto models. (2024). Chen, Yuyu ; Wang, Ruodu ; Embrechts, Paul.
   In: Papers.
   RePEc:arx:papers:2403.20171.

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7. An unexpected stochastic dominance: Pareto distributions, dependence, and diversification. (2024). Chen, Yuyu ; Wang, Ruodu ; Embrechts, Paul.
   In: Papers.
   RePEc:arx:papers:2208.08471.

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8. A Guaranteed-Return Structured Product as an Investment Risk-Hedging Instrument in Pension Savings Plans. (2023). Afik, Zvika ; Yosef, Rami ; Hadad, Elroi.
   In: Risks.
   RePEc:gam:jrisks:v:11:y:2023:i:6:p:107-:d:1164262.

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9. Constant or Variable? A Performance Analysis among Portfolio Insurance Strategies. (2023). Oliva, Immacolata ; Mancinelli, Daniele.
   In: Risks.
   RePEc:gam:jrisks:v:11:y:2023:i:6:p:105-:d:1162993.

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10. Environmental engagement and stock price crash risk: Evidence from the European banking industry. (2023). Ricci, Ornella ; Santilli, Gianluca ; Fiordelisi, Franco.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002053.

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11. Portfolio Selection Under Systemic Risk. (2022). Taamouti, Abderrahim ; Lin, Weidong ; Olmo, Jose.
    In: Research Papers.
    RePEc:liv:livedp:202208.

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12. Portfolio selection in quantile decision models. (2022). Olmo, Jose ; Montes-Rojas, Gabriel ; Galvao, Antonio ; de Castro, Luciano.
    In: Annals of Finance.
    RePEc:kap:annfin:v:18:y:2022:i:2:d:10.1007_s10436-021-00405-4.

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13. Degree and structure of return dependence among commodities, energy stocks and international equity markets during the post-COVID-19 period. (2022). Azimli, Asil.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001271.

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14. Does extended auditor disclosure deter managerial bad-news hoarding? Evidence from crash risk. (2022). Zhao, Yang ; Xing, LU ; Li, Donghui.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:76:y:2022:i:c:s0929119922000992.

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15. Risk pooling and solvency regulation: A policyholders perspective. (2022). Albrecht, Peter ; Huggenberger, Markus.
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:89:y:2022:i:4:p:907-950.

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16. Addressing insurance of data breach cyber risks in the catastrophe framework. (2021). Wheatley, Spencer ; Sornette, Didier ; Hofmann, Annette.
    In: The Geneva Papers on Risk and Insurance - Issues and Practice.
    RePEc:pal:gpprii:v:46:y:2021:i:1:d:10.1057_s41288-020-00163-w.

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17. Robust estimation of conditional risk measures using machine learning algorithm for commodity futures prices in the presence of outliers. (2021). Byers, J W ; Popova, I ; Simkins, B J.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:24:y:2021:i:c:s2405851321000088.

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18. Corporate social activities and stock price crash risk in the banking industry: International evidence. (2021). Wu, Yue ; Wang, Kun Tracy ; Liu, Simeng.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001311.

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19. Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis.
    In: Papers.
    RePEc:arx:papers:2112.12031.

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20. Diversification and portfolio theory: a review. (2020). Koumou, Nettey Boevi Gilles.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00352-6.

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21. 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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22. Backtesting Extreme Value Theory models of expected shortfall. (2019). Novales, Alfonso ; Garcia-Jorcano, Laura.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1924.

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23. Managing portfolio diversity within the mean variance theory. (2019). Schmidt, Anatoly B.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2896-x.

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24. Accounting regulations, enforcement, and stock price crash risk: Global evidence in the banking industry. (2019). Xing, Saipeng ; Abedifar, Pejman ; Li, Ming ; Song, Liang ; Johnson, Dean.
    In: Journal of Contemporary Accounting and Economics.
    RePEc:eee:jocaae:v:15:y:2019:i:3:s1815566919301055.

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25. A survey of network-based analysis and systemic risk measurement. (2018). Neveu, Andre.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:13:y:2018:i:2:d:10.1007_s11403-016-0182-z.

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26. The Natural Catastrophe Protection Gap: Measurement, Root Causes and Ways of Addressing Underinsurance for Extreme Events†. (2018). Holzheu, Thomas ; Turner, Ginger.
    In: The Geneva Papers on Risk and Insurance - Issues and Practice.
    RePEc:pal:gpprii:v:43:y:2018:i:1:d:10.1057_s41288-017-0075-y.

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27. Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures. (2018). Powell, Warren B ; Jiang, Daniel R.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:43:y:2018:i:2:p:554-579.

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28. Analyzing and Predicting CAT Bond Premiums: a Financial Loss Premium Principle and Extreme Value Modeling. (2018). STUPFLER, Gilles ; Yang, Fan.
    In: Post-Print.
    RePEc:hal:journl:hal-04464416.

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29. Extreme Portfolio Loss Correlations in Credit Risk. (2018). Guhr, Thomas ; Muhlbacher, Andreas.
    In: Risks.
    RePEc:gam:jrisks:v:6:y:2018:i:3:p:72-:d:158439.

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30. Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations. (2018). Guhr, Thomas ; Muhlbacher, Andreas.
    In: Risks.
    RePEc:gam:jrisks:v:6:y:2018:i:2:p:42-:d:142688.

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31. The cross-section of expected stock returns in the property/liability insurance industry. (2018). Milidonis, Andreas ; Eling, Martin ; ben Ammar, Semir.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:96:y:2018:i:c:p:292-321.

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32. Naive versus optimal diversification: Tail risk and performance. (2018). Xu, Simon ; Hwang, In Chang ; In, Francis.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:265:y:2018:i:1:p:372-388.

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33. Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations. (2018). Guhr, Thomas ; Muhlbacher, Andreas.
    In: Papers.
    RePEc:arx:papers:1803.00261.

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34. Minimizing value-at-risk in single-machine scheduling. (2017). Atakan, Semih ; Noyan, Nilay ; Bulbul, Kerem.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:248:y:2017:i:1:d:10.1007_s10479-016-2251-z.

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35. Extreme movements of the Russian stock market and their consequences for management and economic modeling. (2017). Ibragimov, Rustam ; Lebedev, Oleg ; Ankudinov, Andrei.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0311.

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36. Sanctions and the Russian stock market. (2017). Ibragimov, Rustam ; Lebedev, Oleg ; Ankudinov, Andrei.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:40:y:2017:i:c:p:150-162.

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37. Heavy tails and asymmetry of returns in the Russian stock market. (2017). Ibragimov, Rustam ; Lebedev, Oleg ; Ankudinov, Andrei.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:32:y:2017:i:c:p:200-219.

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38. Extreme portfolio loss correlations in credit risk. (2017). Guhr, Thomas ; Muhlbacher, Andreas.
    In: Papers.
    RePEc:arx:papers:1706.09809.

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39. How safe are the safe haven assets?. (2016). Kopyl, Kateryna Anatoliyevna ; Lee, John Byong-Tek.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:30:y:2016:i:4:d:10.1007_s11408-016-0277-5.

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40. On the Measurement of Economic Tail Risk. (2016). Peng, Xianhua ; Kou, Steven.
    In: Operations Research.
    RePEc:inm:oropre:v:64:y:2016:i:5:p:1056-1072.

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41. Heavy tails and copulas: Limits of diversification revisited. (2016). Prokhorov, Artem ; Ibragimov, Rustam.
    In: Economics Letters.
    RePEc:eee:ecolet:v:149:y:2016:i:c:p:102-107.

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42. An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates. (2016). Chavez-Demoulin, Valerie ; Embrechts, Paul ; Hofert, Marius.
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:83:y:2016:i:3:p:735-776.

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43. Credit risk: Taking fluctuating asset correlations into account. (2016). Guhr, Thomas ; Schmitt, Thilo A ; Schafer, Rudi.
    In: Papers.
    RePEc:arx:papers:1601.03015.

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44. On the Measurement of Economic Tail Risk. (2015). Peng, Xianhua ; Kou, Steven.
    In: Papers.
    RePEc:arx:papers:1401.4787.

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45. The number of stocks in your portfolio should be larger than you think: diversification evidence from five developed markets. (2014). Tapon, Francis ; Alexeev, Vitali.
    In: Published Paper Series.
    RePEc:uts:ppaper:2014-4.

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46. On the robustness of location estimators in models of firm growth under heavy-tailedness. (2014). Ibragimov, Rustam.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:181:y:2014:i:1:p:25-33.

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47. On dependence consistency of CoVaRand some other systemic risk measures. (2014). Eric, Schaanning ; Georg, Mainik .
    In: Statistics & Risk Modeling.
    RePEc:bpj:strimo:v:31:y:2014:i:1:p:29:n:4.

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48. Equity Portfolio Diversification: How Many Stocks are Enough? Evidence from Five Developed Markets. (2013). Tapon, Francis ; Alexeev, Vitali.
    In: Working Papers.
    RePEc:tas:wpaper:17313.

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49. External Risk Measures and Basel Accords. (2013). Peng, Xianhua ; Kou, Steven ; Heyde, Chris C.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:38:y:2013:i:3:p:393-417.

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50. Portfolio selection: An extreme value approach. (2013). DiTraglia, Francis ; Gerlach, Jeffrey R..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:2:p:305-323.

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51. Fat tails, VaR and subadditivity. (2013). Jørgensen, Bjørn ; de Vries, Casper ; Danielsson, Jon ; Sarma, Mandira ; Samorodnitsky, Gennady ; Jorgensen, Bjorn N..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:172:y:2013:i:2:p:283-291.

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52. Leveraged network-based financial accelerator. (2013). Russo, Alberto ; Riccetti, Luca ; Gallegati, Mauro.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:37:y:2013:i:8:p:1626-1640.

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53. Portfolio selection using mean-risk model and mean-risk diversification model. (2012). Rather, Akhter Mohiuddin .
    In: International Journal of Operational Research.
    RePEc:ids:ijores:v:14:y:2012:i:3:p:324-342.

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54. Extreme downside risk and expected stock returns. (2012). Huang, Wei ; Liu, Qianqiu ; Rhee, Ghon S. ; Wu, Feng.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:5:p:1492-1502.

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55. International diversification: An extreme value approach. (2012). de la Pea, Victor ; Chollete, Lorn ; Lu, Ching-Chih.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:3:p:871-885.

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56. Risk concentration of aggregated dependent risks: The second-order properties. (2012). Xu, Weidong ; Wu, Chongfeng ; Tong, Bin.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:50:y:2012:i:1:p:139-149.

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57. Ordering of multivariate risk models with respect to extreme portfolio losses. (2012). Ludger, Ruschendorf ; Georg, Mainik .
    In: Statistics & Risk Modeling.
    RePEc:bpj:strimo:v:29:y:2012:i:1:p:73-106:n:4.

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58. Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks. (2011). .
    In: Annals of Finance.
    RePEc:kap:annfin:v:7:y:2011:i:3:p:285-318.

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59. Diversification disasters. (2011). Ibragimov, Rustam ; Walden, Johan ; Jaffee, Dwight.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:99:y:2011:i:2:p:333-348.

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60. International diversification: A copula approach. (2011). de la Pea, Victor ; Chollete, Loran ; Lu, Ching-Chih.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:2:p:403-417.

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61. Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606.

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62. Optimal Bundling Strategies Under Heavy-Tailed Valuations. (2010). Ibragimov, Rustam ; Walden, Johan.
    In: Management Science.
    RePEc:inm:ormnsc:v:56:y:2010:i:11:p:1963-1976.

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63. Asymmetric Dependence in US Financial Risk Factors?. (2010). Ning, Cathy ; Chollete, Loran.
    In: UiS Working Papers in Economics and Finance.
    RePEc:hhs:stavef:2011_002.

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64. Is gold a safe haven? International evidence. (2010). McDermott, Thomas ; Baur, Dirk.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:8:p:1886-1898.

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65. Pricing catastrophe options with stochastic claim arrival intensity in claim time. (2010). Lu, WeLi ; Chang, Jack S. K., .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:1:p:24-32.

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66. Risk concentration and diversification: Second-order properties. (2010). Degen, Matthias ; Segers, Johan ; Lambrigger, Dominik D..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:46:y:2010:i:3:p:541-546.

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67. International Diversification: A Copula Approach. (2009). de la Pena, Victor ; Chollete, Loran ; Lu, Ching-Chih.
    In: UiS Working Papers in Economics and Finance.
    RePEc:hhs:stavef:2009_027.

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68. International Diversification: An Extreme Value Approach. (2009). de la Pena, Victor ; Chollete, Loran ; Lu, Ching-Chih.
    In: UiS Working Papers in Economics and Finance.
    RePEc:hhs:stavef:2009_026.

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69. Performance evaluation of portfolio insurance strategies using stochastic dominance criteria. (2009). Van Osselaer, Sofieke ; Annaert, Jan ; Verstraete, Bert.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:2:p:272-280.

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70. Contagion as a domino effect in global stock markets. (2009). van Dijk, Dick ; Kole, Erik ; Markwat, Thijs.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:11:p:1996-2012.

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71. Infinite Density at the Median and the Typical Shape of Stock Return Distributions. (2009). Phillips, Peter ; Han, Chirok ; Cho, Jin Seo ; Peter C. B. Phillips, .
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1701.

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72. Modeling and Management of Nonlinear Dependencies–Copulas in Dynamic Financial Analysis. (2009). Eling, Martin ; Toplek, Denis .
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:76:y:2009:i:3:p:651-681.

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73. Risk Concentration and Diversification: Second-Order Properties. (2009). Degen, Matthias ; Segers, Johan ; Lambrigger, Dominik D..
    In: Papers.
    RePEc:arx:papers:0910.2367.

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74. The Propagation of Financial Extremes: An Application to Subprime Market Spillovers. (2008). Chollete, Loran.
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2008_002.

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75. Heavy-tailedness and threshold sex determination. (2008). Ibragimov, Rustam.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:78:y:2008:i:16:p:2804-2810.

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76. The dynamics of operational loss clustering. (2008). Yildirim, Yildiray ; Chernobai, Anna.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:12:p:2655-2666.

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77. Portfolio diversification under local and moderate deviations from power laws. (2008). Ibragimov, Rustam ; Walden, Johan.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:42:y:2008:i:2:p:594-599.

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