On risk management problems related to a coherence property
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Publication:5475313
DOI10.1080/14697680500467889zbMATH Open1132.91017OpenAlexW1989049629MaRDI QIDQ5475313FDOQ5475313
Authors: Frank J. Fabozzi, Radu Tunaru 
Publication date: 16 June 2006
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680500467889
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Cites Work
- Coherent measures of risk
- A new distribution-free quantile estimator
- Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
- A comparison of quantile estimators
- Dual Stochastic Dominance and Quantile Risk Measures
- Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
- Local Expected Shortfall-Hedging in Discrete Time *
- On the worst conditional expectation.
Cited In (5)
- Coherence and elicitability
- Expected shortfall and beyond
- Seven proofs for the subadditivity of expected shortfall
- COMPARATIVE ANALYSES OF EXPECTED SHORTFALL AND VALUE-AT-RISK(Special Issue on Theory, Methodology and Applications in Financial Engneering)
- Modified expected shortfall: a coherent risk measure for elliptical family of distributions
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