This document has not been cited yet.

1. Acerbi, C. and Tasche, D. (2002). On the coherence of Expected Shortfall. Journal of Banking and Finance, 26(7), 1487-1503.

2. Acharya V. V. and Schnabl, P. (2010). Do Global Banks Spread Global Imbalances? The Case of Asset-Backed Commercial Paper During the Financial Crisis of 2007-09. MF Economic Review, 58(1), 37-73.

3. Acharya, V. V., Pedersen, L., Philippon, T. and Richardson, M. (2010). Measuring Systemic Risk. Technical report, Department of Finance, NYU.

4. Adams, Z., Füss, R. and Gropp, R. (2014). Spillover effects among financial institutions: A State-Dependent Sensitivity Value-at-Risk (SDSVaR) approach. Forthcoming in Journal of Financial and Quantitative Analysis.

5. Aigner, D. J., T. Amemiya, D. J. Poirier. (1976). On the Estimation of Production Frontiers: Maximum Likelihood Estimation of the Parameters of a Discontinuous Density Function. International Economic Review, 17(2), 377-396.

6. Amemiya, T. (1982). Two Stage Least Absolute Deviations Estimators. Econometrica 50(3), 689-711.

7. Ang, A., Chen, J. and Xing, Y. (2006). Downside Risk. Review of Financial Studies 19(4), 1191-1239.

8. Artzner, P., Delbaen, F., Eber, J. M. and Heath, D. (1999). Coherent measures of risk. Mathematical Finance 9(3), 203-228.

9. Baele, L. (2005). Volatility spillover effects in European equity markets. Journal of Financial and Quantitative Analysis, 40(2), 373-401.

10. Becker, K., Finnerty J. and Gupta, M. (1990). The intertemporal relation between the US and the Japanese markets. Journal of Finance, 45(4), 1297-1306.
    Paper not yet in RePEc: Add citation now
    
11. Brownlees, C. T. and Engle, R. (2012). Volatility, correlation and tails for systemic risk measurement. Working paper, NYU Stern School of Business.
    Paper not yet in RePEc: Add citation now
    

12. Cheung, W., Fung, S. and Tsai, S. C. (2010). Global capital market interdependence and spillover effect of credit risk: evidence from the 2007-2009 global financial crisis. Applied Financial Economics, 20(1-2), 85-103.

13. Chevapatrakul, T. and Paez-Farrell, J. (2013). What determines the sacrifice ratio? A quantile regression approach. Economics Bulletin, 33(3), 1863-1874. crisis. European Journal of Finance, 19(9), 861-887.

14. Christoffersen, P. F. (1998). Evaluating interval forecasts. International Economic Review, 39(4), 841-862.

15. De Rossi, G. and Harvey, A. C. (2006). Time-varying quantiles. Working paper, University of Cambridge.
    Paper not yet in RePEc: Add citation now
    

16. De Rossi, G. and Harvey, A. C. (2009). Quantiles, expectiles, and splines. Journal of Econometrics, 152(2), 179-185.

17. Degryse, H., Elahi, M. A. and Penas, M. F. (2010). Cross-Border Exposures and Financial Contagion. International Review of Finance, 10(2), 209-240.

18. Diebold, F. X. and Yilmaz K. (2012). Better to give than to receive: Predictive measurement of volatility spillover. International Journal of Forecasting, 28(1), 57-66.

19. Dungey, M., Fry, R., Gonzalez-Hermosillo, B. and Martin, V. (2005). Empirical modelling of contagion: A review of methodologies. Quantitative Finance, 5(1), 9-24.

20. Efron, B. (1991). Regression percentiles using asymmetric squared error loss. Statistica Sinica, 1, 93-125.
    Paper not yet in RePEc: Add citation now
    

21. Engle, R. F. and Manganelli, S. (2004). CAViaR: Conditional Autoregressive Value at Risk by regression quantiles. Journal of Business and Economic Statistics 22(4), 367-381.

22. Engle, R. F., Ito T., Lin W. (1990). Meteor shower or heat wave? Heteroskedastic intra-daily volatility in the foreign exchange market. Econometrica, 59, 524-542.

23. Hamao, Y., Masulis, R. W. and Ng, V. (1990). Correlations in Price Changes and Volatility across International Stock Markets. Review of Financial Studies, 3(2), 281-307.

24. International Monetary Fund (2011a). Changing Patterns of Global Trade. Pepared by the Strategy, Policy, and Review Department, Washington.
    Paper not yet in RePEc: Add citation now
    
25. International Monetary Fund (2014). World economic outlook: recovery strengthens, remains uneven. IMF, Washington.
    Paper not yet in RePEc: Add citation now
    

26. Jin, X., Lin, X. and Tamvakis, M. (2012). Volatility transmission and volatility impulse response functions in crude oil markets. Energy Economics, 34(6), 2125-2134.

27. Kim, J. Y., and Hwang, J. B. (2012). Extreme risk spillover in financial markets: Evidence from the recent financial crisis. Working paper.
    Paper not yet in RePEc: Add citation now
    

28. Kim, T. H. and Muller, H. (2004). Two-stage quantile regression when the first stage is based on quantile regression. The Econometrics Journal, 7(1), 218-231.

29. King, M., Wadhwani, S. (1990). Transmission of volatility between stock markets. The Review of Financial Studies 3(1), 5-33.

30. Koenker, R. (2005). Quantile Regression. Econometric Society Monograph Series, Cambridge University Press, Cambridge.

31. Kuan, C. M., Yeh, J., and Hsu, Y. C. (2009). Assessing value at risk with CARE, the conditional autoregressive expectile models. Journal of Econometrics, 150(2), 261-270.

32. Kupiec, P. H. (1995). Techniques for verifying the accuracy of risk measurement models. Journal of Derivatives, 3(2), 73-84.

33. López-Espinosa, G., Moreno, A., Rubia, A. and Valderrama, L. (2012). Short-term wholesale funding and systemic risk: A global covar approach. Journal of Banking and Finance, 36(12), 3150-3162.

34. Longstaff, F. A. (2010). The subprime credit crisis and contagion in financial markets. Journal of Financial Economics, 97(3), 436-450.

35. McGuire, P. and Von Peter, G. (2009). The US dollar shortage in global banking. Working paper, BIS.

36. McNeil, A. J., Frey, R. and Embrechts, P. (2005). Quantitative risk management: Concepts, techniques, and tools. Princeton University Press, Princeton.
    Paper not yet in RePEc: Add citation now
    

37. Newey, W. K. and Powell, J. L. (1987). Asymmetric least squares estimation and testing. Econometrica 55(4), 819-847.

38. Panopoulou, E. and Pantelidis, T. (2009). Integration at a cost: evidence from volatility impulse response functions. Applied Financial Economics, Taylor Francis Journals, 19(11), 917933.

39. Poon, S. H. and Granger, C. W. J (2003). Forecasting Volatility in Financial Markets: A Review. Journal of Economic Literature, 41(2), 478-539.

40. Powell, J. (1983). The Asymptotic Normality of Two-Stage Least Absolute Deviations Estimators, Econometrica, 51, 1569-1575.

41. Rodríguez-Moreno, M. and Peña, J. A. (2013). Systemic Risk Measures: The Simpler the Better? Journal of Banking and Finance, 37(6), 1817-1831.
    Paper not yet in RePEc: Add citation now
    

42. Segoviano, M. and Goodhart, C. (2009). Banking Stability Measures. Working paper, IMF.

43. Shiller, R. J. (1989). Comovements in Stock Prices and Comovements in Dividends. Journal of Finance, 44(3), 719-729.

44. Susmel, R. and Engle, R. F. (1994). Hourly volatility spillovers between international equity markets, Journal of International Money and Finance, 13(1), 3-25.

45. Tauchen, G. E. and Pitts, M. (1983). The price variability-volume relationship on speculative markets. Econometrica, 51(2), 485-505.

46. Taylor, J. W. (2008a). Estimating Value at Risk and Expected Shortfall using Expectiles. Journal of Financial Econometrics, 6(2), 231-252.

47. Taylor, J. W. (2008b). Using exponentially weighted Quantile Regression to estimate Value at Risk and Expected Shortfall. Journal of Financial Econometrics, 6(3), 382-406.

48. Theodossiou, P. and Lee, U. (1993). Mean and Volatility Spillovers Across Major National Stock Markets: Further Empirical Evidence. Journal of Financial Research, 16(4), 337-350.

49. Tressel, H. (2010). Financial Contagion through Bank Deleveraging: Stylized Facts and Simulations Applied to the Financial Crisis. Working paper, IMF.

50. Vinod, H. D. and López-de-Lacalle, J. (2009). Maximum entropy bootstrap for time series: The meboot R Package. Journal of Statistical Software, American Statistical Association, 29(5), 1-19.

51. Weistroffer, C. and Möbert, J. (2010) Monitoring cross border exposure. Deutsche Bank Research.
    Paper not yet in RePEc: Add citation now
    

52. Yao, Q. and Tong, H. (1996). Asymmetric least squares regression estimation: a nonparametric approach. Journal of Nonparametric Statistics, 6(2-3), 273-292. Ivie Guardia Civil, 22 - Esc. 2, 1 46020 Valencia - Spain Phone: +34 963 190 050 Fax: +34 963 190 055 Website: www.ivie.es E-mail: publicaciones@ivie.es ad serie

1. Adjusted Expected Shortfall. (2021). Wang, Ruodu ; Burzoni, Matteo ; Munari, Cosimo.
   In: Papers.
   RePEc:arx:papers:2007.08829.

   Full description at Econpapers || Download paper

2. The Impact of the Choice of Risk and Dispersion Measure on Procyclicality. (2020). Kratz, Marie ; Brautigam, Marcel.
   In: Papers.
   RePEc:arx:papers:2001.00529.

   Full description at Econpapers || Download paper

3. Quantifying Risk in Traditional Energy and Sustainable Investments. (2019). Mora-Valencia, Andrés ; Garcia-Donato, Gonzalo ; Diaz, Antonio.
   In: Sustainability.
   RePEc:gam:jsusta:v:11:y:2019:i:3:p:720-:d:201942.

   Full description at Econpapers || Download paper

4. Stochastic linear programming games with concave preferences. (2015). Uhan, Nelson A..
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:243:y:2015:i:2:p:637-646.

   Full description at Econpapers || Download paper

5. Comparative and qualitative robustness for law-invariant risk measures. (2014). Kratschmer, Volker ; Zahle, Henryk ; Schied, Alexander.
   In: Papers.
   RePEc:arx:papers:1204.2458.

   Full description at Econpapers || Download paper

6. Optimal risk transfer under quantile-based risk measurers. (2013). Verdonck, Tim ; Asimit, Alexandru V. ; Badescu, Alexandru M..
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:53:y:2013:i:1:p:252-265.

   Full description at Econpapers || Download paper

7. Set-valued average value at risk and its computation. (2013). Yankova, Mihaela ; Rudloff, Birgit ; Hamel, Andreas H..
   In: Papers.
   RePEc:arx:papers:1202.5702.

   Full description at Econpapers || Download paper

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.
   In: IREA Working Papers.
   RePEc:ira:wpaper:201201.

   Full description at Econpapers || Download paper

9. Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics. (2011). Shapiro, Alexander ; Chun, So Yeon ; Uryasev, Stan.
   In: MPRA Paper.
   RePEc:pra:mprapa:30132.

   Full description at Econpapers || Download paper

10. Extreme value theory for finance: a survey. (2011). Rocco, Marco .
    In: Questioni di Economia e Finanza (Occasional Papers).
    RePEc:bdi:opques:qef_99_11.

    Full description at Econpapers || Download paper

11. Saddlepoint methods in portfolio theory. (2011). Martin, Richard J.
    In: Papers.
    RePEc:arx:papers:1201.0106.

    Full description at Econpapers || Download paper

12. On the impossibility of fair risk allocation. (2010). Pintér, Miklós ; Csóka, Péter ; Csoka, Peter ; Pinter, Miklos.
    In: MPRA Paper.
    RePEc:pra:mprapa:26515.

    Full description at Econpapers || Download paper

13. Minimizing Conditional Value-at-Risk under Constraint on Expected Value. (2010). Xu, Mingxin ; Li, Jing.
    In: MPRA Paper.
    RePEc:pra:mprapa:26342.

    Full description at Econpapers || Download paper

14. TVaR-based capital allocation with copulas. (2009). Barges, Mathieu ; Cossette, Helene ; Marceau, Etienne.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00431265.

    Full description at Econpapers || Download paper

15. Stable allocations of risk. (2009). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Koczy, Laszlo Á., .
    In: Games and Economic Behavior.
    RePEc:eee:gamebe:v:67:y:2009:i:1:p:266-276.

    Full description at Econpapers || Download paper

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.
    RePEc:eee:finana:v:18:y:2009:i:5:p:303-310.

    Full description at Econpapers || Download paper

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.
    RePEc:zbw:bubdp2:7324.

    Full description at Econpapers || Download paper

18. An Econometric Analysis of Financial Data in Risk Management. (2008). Fantazzini, Dean.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0006.

    Full description at Econpapers || Download paper

19. Stable Allocations of Risk. (2008). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Csoka, Peter ; Koczy, Laszlo a..
    In: Working Paper Series.
    RePEc:pkk:wpaper:0802.

    Full description at Econpapers || Download paper

20. Nested simulation in portfolio risk measurement. (2008). Gordy, Michael ; Juneja, Sandeep.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2008-21.

    Full description at Econpapers || Download paper

21. Nonparametric estimation of conditional VaR and expected shortfall. (2008). CAI, ZONGWU ; Wang, Xian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:147:y:2008:i:1:p:120-130.

    Full description at Econpapers || Download paper

22. Portfolio selection with uncertain exit time: A robust CVaR approach. (2008). Fabozzi, Frank ; Zhu, Shu-Shang ; Fukushima, Masao ; Huang, Dashan.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:32:y:2008:i:2:p:594-623.

    Full description at Econpapers || Download paper

23. A Bayesian approach to estimate the marginal loss distributions in operational risk management. (2008). Giudici, Paolo ; Dalla Valle, Luciana.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:52:y:2008:i:6:p:3107-3127.

    Full description at Econpapers || Download paper

24. Measuring concentration risk for regulatory purposes. (2007). Gurtler, Marc ; Vohringer, Clemens ; Hibbeln, Martin.
    In: Working Papers.
    RePEc:zbw:tbsifw:if26v4.

    Full description at Econpapers || Download paper

25. Could Regional and Cantonal Banks Reduce Credit Risk through National Diversification?. (2007). Rime, Bertrand .
    In: Swiss Journal of Economics and Statistics (SJES).
    RePEc:ses:arsjes:2007-i-3.

    Full description at Econpapers || Download paper

26. Managerial Risk Accounting and Control – A German perspective. (2007). Winter, Peter.
    In: MPRA Paper.
    RePEc:pra:mprapa:8185.

    Full description at Econpapers || Download paper

27. Tradable measure of risk. (2007). Xu, Mingxin ; Vecer, Jan ; Pospisil, Libor .
    In: MPRA Paper.
    RePEc:pra:mprapa:5059.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

29. 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.

    Full description at Econpapers || Download paper

30. A Component GARCH Model with Time Varying Weights. (2007). Storti, Giuseppe ; Bauwens, Luc ; G., STORTI, .
    In: Discussion Papers (ECON - Département des Sciences Economiques).
    RePEc:ctl:louvec:2007012.

    Full description at Econpapers || Download paper

31. 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.

    Full description at Econpapers || Download paper

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, .
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:06/367.

    Full description at Econpapers || Download paper

33. Tail Conditional Expectation for vector-valued Risks. (2006). Bentahar, Imen.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2006-029.

    Full description at Econpapers || Download paper

34. 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.

    Full description at Econpapers || Download paper

35. Auto-Dependence Structure of Arch-Models: Tail Dependence Coefficients. (2006). Brummelhuis, Raymond.
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:0605.

    Full description at Econpapers || Download paper

36. Reducing Asset Weights Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization. (2006). Tilke, Stephan.
    In: University of Regensburg Working Papers in Business, Economics and Management Information Systems.
    RePEc:bay:rdwiwi:706.

    Full description at Econpapers || Download paper

37. Noise sensitivity of portfolio selection under various risk measures. (2006). Kondor, Imre ; Pafka, Szilard ; Nagy, Gabor.
    In: Papers.
    RePEc:arx:papers:physics/0611027.

    Full description at Econpapers || Download paper

38. Measuring sectoral diversification in an asymptotic multi-factor framework. (2006). Tasche, Dirk.
    In: Papers.
    RePEc:arx:papers:physics/0505142.

    Full description at Econpapers || Download paper

39. Inverse stochastic dominance constraints and rank dependent expected utility theory. (2005). Ruszczynski, Andrzej ; Dentcheva, Darinka.
    In: GE, Growth, Math methods.
    RePEc:wpa:wuwpge:0503001.

    Full description at Econpapers || Download paper

40. Risk Measure Pricing and Hedging in Incomplete Markets. (2005). Xu, Mingxin.
    In: Finance.
    RePEc:wpa:wuwpfi:0406004.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

42. 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.

    Full description at Econpapers || Download paper

43. Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements. (2005). Scaillet, Olivier ; Fermanian, Jean-David.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:4:p:927-958.

    Full description at Econpapers || Download paper

44. 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.

    Full description at Econpapers || Download paper

45. Optimization of Risk Measures. (2004). Shapiro, Alexander ; Ruszczynski, Andrzej.
    In: Risk and Insurance.
    RePEc:wpa:wuwpri:0407002.

    Full description at Econpapers || Download paper

46. Backtesting for risk-based regulatory capital. (2004). Melenberg, Bertrand ; Kerkhof, Jeroen.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:8:p:1845-1865.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

48. Spectral measures of risk: A coherent representation of subjective risk aversion. (2002). Acerbi, Carlo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:7:p:1505-1518.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

50. Credit Risk Contributions to Value-at-Risk and Expected Shortfall. (2002). Tasche, Dirk ; Kurth, Alexandre .
    In: Papers.
    RePEc:arx:papers:cond-mat/0207750.

    Full description at Econpapers || Download paper

Report date: 2025-09-20 20:20:09 || Missing content? Let us know