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Giacomo Scandolo

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Pauline Barrieu & Giacomo Scandolo, 2013. "Assessing Financial Model Risk," Papers 1307.0684, arXiv.org, revised Jul 2013.

    Cited by:

    1. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2017. "On a robust risk measurement approach for capital determination errors minimization," Papers 1707.09829, arXiv.org, revised Oct 2020.
    2. Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020. "A cost-benefit analysis of capital requirements adjusted for model risk," Journal of Corporate Finance, Elsevier, vol. 65(C).
    3. Ballotta, Laura & Deelstra, Griselda & Rayée, Grégory, 2017. "Multivariate FX models with jumps: Triangles, Quantos and implied correlation," European Journal of Operational Research, Elsevier, vol. 260(3), pages 1181-1199.
    4. Lazar, Emese & Qi, Shuyuan, 2022. "Model risk in the over-the-counter market," European Journal of Operational Research, Elsevier, vol. 298(2), pages 769-784.
    5. Valeria Bignozzi & Claudio Macci & Lea Petrella, 2017. "Large deviations for risk measures in finite mixture models," Papers 1710.03252, arXiv.org, revised Feb 2018.
    6. Thierry Cohignac & Nabil Kazi-Tani, 2019. "Quantile Mixing and Model Uncertainty Measures," Working Papers hal-02405859, HAL.
    7. Carole Bernard & Silvana M. Pesenti & Steven Vanduffel, 2024. "Robust distortion risk measures," Mathematical Finance, Wiley Blackwell, vol. 34(3), pages 774-818, July.
    8. Thibaut Lux & Antonis Papapantoleon, 2016. "Model-free bounds on Value-at-Risk using extreme value information and statistical distances," Papers 1610.09734, arXiv.org, revised Nov 2018.
    9. Coqueret, Guillaume & Deguest, Romain, 2024. "Unexpected opportunities in misspecified predictive regressions," European Journal of Operational Research, Elsevier, vol. 318(2), pages 686-700.
    10. Mercadier, Mathieu & Strobel, Frank, 2021. "A one-sided Vysochanskii-Petunin inequality with financial applications," European Journal of Operational Research, Elsevier, vol. 295(1), pages 374-377.
    11. Mohammed Berkhouch & Fernanda Maria Müller & Ghizlane Lakhnati & Marcelo Brutti Righi, 2022. "Deviation-Based Model Risk Measures," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 527-547, February.
    12. Cyril Bénézet & Stéphane Crépey, 2024. "Handling model risk with XVAs," Working Papers hal-03675291, HAL.
    13. Lin, Edward M.H. & Sun, Edward W. & Yu, Min-Teh, 2020. "Behavioral data-driven analysis with Bayesian method for risk management of financial services," International Journal of Production Economics, Elsevier, vol. 228(C).
    14. Bernard, Carole & Kazzi, Rodrigue & Vanduffel, Steven, 2020. "Range Value-at-Risk bounds for unimodal distributions under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 9-24.
    15. Volker Stein & Arnd Wiedemann, 2016. "Risk governance: conceptualization, tasks, and research agenda," Journal of Business Economics, Springer, vol. 86(8), pages 813-836, November.
    16. Despoina Makariou & Pauline Barrieu & George Tzougas, 2021. "A Finite Mixture Modelling Perspective for Combining Experts’ Opinions with an Application to Quantile-Based Risk Measures," Risks, MDPI, vol. 9(6), pages 1-25, June.
    17. Bernard, Carole & Vanduffel, Steven, 2015. "A new approach to assessing model risk in high dimensions," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 166-178.
    18. Makariou, Despoina & Barrieu, Pauline & Tzougas, George, 2021. "A finite mixture modelling perspective for combining experts’ opinions with an application to quantile-based risk measures," LSE Research Online Documents on Economics 110763, London School of Economics and Political Science, LSE Library.
    19. Mai Jan-Frederik & Schenk Steffen & Scherer Matthias, 2015. "Analyzing model robustness via a distortion of the stochastic root: A Dirichlet prior approach," Statistics & Risk Modeling, De Gruyter, vol. 32(3-4), pages 177-195, December.
    20. Valeriane Jokhadze & Wolfgang M. Schmidt, 2020. "Measuring Model Risk In Financial Risk Management And Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-37, April.
    21. Braouezec, Yann & Grunspan, Cyril, 2016. "A new elementary geometric approach to option pricing bounds in discrete time models," European Journal of Operational Research, Elsevier, vol. 249(1), pages 270-280.
    22. Tolulope Fadina & Ariel Neufeld & Thorsten Schmidt, 2018. "Affine processes under parameter uncertainty," Papers 1806.02912, arXiv.org, revised Mar 2019.
    23. Coqueret, Guillaume & Tavin, Bertrand, 2016. "An investigation of model risk in a market with jumps and stochastic volatility," European Journal of Operational Research, Elsevier, vol. 253(3), pages 648-658.
    24. Martin Herdegen & Cosimo Munari, 2023. "An elementary proof of the dual representation of Expected Shortfall," Papers 2306.14506, arXiv.org.
    25. James Ming Chen, 2018. "On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles," Risks, MDPI, vol. 6(2), pages 1-28, June.
    26. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, December.
    27. Carole Bernard & Ludger Rüschendorf & Steven Vanduffel, 2017. "Value-at-Risk Bounds With Variance Constraints," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 923-959, September.
    28. Ning Zhang & Yujing Gong & Xiaohan Xue, 2023. "Less disagreement, better forecasts: Adjusted risk measures in the energy futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1332-1372, October.
    29. Lux, Thibaut & Papapantoleon, Antonis, 2019. "Model-free bounds on Value-at-Risk using extreme value information and statistical distances," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 73-83.
    30. Changki Kim & Yangho Choi & Woojoo Lee & Jae Youn Ahn, 2013. "Analyzing Herd Behavior in Global Stock Markets: An Intercontinental Comparison," Papers 1308.3966, arXiv.org.
    31. Andrey Yu. Nevela & Victor A. Lapshin, 2022. "Model Risk and Basic Approaches to its Estimation on Example of Market Risk Models," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 2, pages 91-112, April.
    32. Marcelo Brutti Righi, 2018. "A theory for combinations of risk measures," Papers 1807.01977, arXiv.org, revised May 2023.
    33. Marco Frittelli & Marco Maggis, 2017. "Disentangling Price, Risk and Model Risk: V&R measures," Papers 1703.01329, arXiv.org, revised Jul 2017.
    34. Paul Embrechts & Giovanni Puccetti & Ludger Rüschendorf & Ruodu Wang & Antonela Beleraj, 2014. "An Academic Response to Basel 3.5," Risks, MDPI, vol. 2(1), pages 1-24, February.
    35. Claußen, Arndt & Rösch, Daniel & Schmelzle, Martin, 2019. "Hedging parameter risk," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 111-121.

Articles

  1. Barrieu, Pauline & Scandolo, Giacomo, 2015. "Assessing financial model risk," European Journal of Operational Research, Elsevier, vol. 242(2), pages 546-556.
    See citations under working paper version above.
  2. Rama Cont & Romain Deguest & Giacomo Scandolo, 2010. "Robustness and sensitivity analysis of risk measurement procedures," Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 593-606.

    Cited by:

    1. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2017. "On a robust risk measurement approach for capital determination errors minimization," Papers 1707.09829, arXiv.org, revised Oct 2020.
    2. Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020. "A cost-benefit analysis of capital requirements adjusted for model risk," Journal of Corporate Finance, Elsevier, vol. 65(C).
    3. George Tzagkarakis & Frantz Maurer, 2020. "An energy-based measure for long-run horizon risk quantification," Annals of Operations Research, Springer, vol. 289(2), pages 363-390, June.
    4. Lorenzo Mercuri & Edit Rroji, 2018. "Risk parity for Mixed Tempered Stable distributed sources of risk," Annals of Operations Research, Springer, vol. 260(1), pages 375-393, January.
    5. Alexander, Carol & Han, Yang & Meng, Xiaochun, 2023. "Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1078-1096.
    6. Suzanne Emmer & Marie Kratz & Dirk Tasche, 2013. "What Is the Best Risk Measure in Practice? A Comparison of Standard Measures," Working Papers hal-00921283, HAL.
    7. Anthony Coache & Sebastian Jaimungal & 'Alvaro Cartea, 2022. "Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning," Papers 2206.14666, arXiv.org, revised May 2023.
    8. A. Ahmadi-Javid, 2012. "Entropic Value-at-Risk: A New Coherent Risk Measure," Journal of Optimization Theory and Applications, Springer, vol. 155(3), pages 1105-1123, December.
    9. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
    10. Barrieu, Pauline & Scandolo, Giacomo, 2015. "Assessing financial model risk," European Journal of Operational Research, Elsevier, vol. 242(2), pages 546-556.
    11. Matthias Fischer & Thorsten Moser & Marius Pfeuffer, 2018. "A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations," Risks, MDPI, vol. 6(4), pages 1-28, December.
    12. Valeria Bignozzi & Claudio Macci & Lea Petrella, 2017. "Large deviations for risk measures in finite mixture models," Papers 1710.03252, arXiv.org, revised Feb 2018.
    13. Hirbod Assa, 2014. "On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums," Papers 1406.2950, arXiv.org.
    14. Fissler, Tobias & Pesenti, Silvana M., 2023. "Sensitivity measures based on scoring functions," European Journal of Operational Research, Elsevier, vol. 307(3), pages 1408-1423.
    15. Shao, Hui & Zhang, Zhe George, 2023. "Distortion risk measure under parametric ambiguity," European Journal of Operational Research, Elsevier, vol. 311(3), pages 1159-1172.
    16. Volker Kratschmer & Alexander Schied & Henryk Zahle, 2012. "Comparative and qualitative robustness for law-invariant risk measures," Papers 1204.2458, arXiv.org, revised Jan 2014.
    17. Jiang, Wenjun & Hong, Hanping & Ren, Jiandong, 2021. "Pareto-optimal reinsurance policies with maximal synergy," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 185-198.
    18. Carole Bernard & Silvana M. Pesenti & Steven Vanduffel, 2024. "Robust distortion risk measures," Mathematical Finance, Wiley Blackwell, vol. 34(3), pages 774-818, July.
    19. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012. "When more is less: Using multiple constraints to reduce tail risk," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2693-2716.
    20. Ruodu Wang & Yunran Wei, 2020. "Risk functionals with convex level sets," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1337-1367, October.
    21. Pablo Koch-Medina & Cosimo Munari, 2014. "Law-invariant risk measures: extension properties and qualitative robustness," Papers 1401.3121, arXiv.org.
    22. Nicole Bauerle & Tomer Shushi, 2019. "Risk Management with Tail Quasi-Linear Means," Papers 1902.06941, arXiv.org, revised Jan 2020.
    23. Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "A data-driven framework for consistent financial valuation and risk measurement," European Journal of Operational Research, Elsevier, vol. 289(1), pages 381-398.
    24. Artem I. Potapov, 2023. "Assessing the Margin Requirements Impact on the Russian Futures Market Liquidity," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 5, pages 94-116, October.
    25. Andrea Senova & Alica Tobisova & Robert Rozenberg, 2023. "New Approaches to Project Risk Assessment Utilizing the Monte Carlo Method," Sustainability, MDPI, vol. 15(2), pages 1-19, January.
    26. Matteo Burzoni & Cosimo Munari & Ruodu Wang, 2020. "Adjusted Expected Shortfall," Papers 2007.08829, arXiv.org, revised Aug 2021.
    27. Sander Barendse & Erik Kole & Dick van Dijk, 2023. "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 528-568.
    28. Natalia Nolde & Johanna F. Ziegel, 2016. "Elicitability and backtesting: Perspectives for banking regulation," Papers 1608.05498, arXiv.org, revised Feb 2017.
    29. Dimitriadis, Timo & Schnaitmann, Julie, 2021. "Forecast encompassing tests for the expected shortfall," International Journal of Forecasting, Elsevier, vol. 37(2), pages 604-621.
    30. Barrieu, Pauline & Scandolo, Giacomo, 2014. "Assessing financial model risk," LSE Research Online Documents on Economics 60084, London School of Economics and Political Science, LSE Library.
    31. Carole Bernard & Ludger Rüschendorf & Steven Vanduffel & Ruodu Wang, 2017. "Risk bounds for factor models," Finance and Stochastics, Springer, vol. 21(3), pages 631-659, July.
    32. Volker Krätschmer & Alexander Schied & Henryk Zähle, 2014. "Comparative and qualitative robustness for law-invariant risk measures," Finance and Stochastics, Springer, vol. 18(2), pages 271-295, April.
    33. Tobias Fissler & Johanna F. Ziegel, 2019. "Evaluating Range Value at Risk Forecasts," Papers 1902.04489, arXiv.org, revised Nov 2020.
    34. Yuyu Chen & Paul Embrechts & Ruodu Wang, 2022. "An unexpected stochastic dominance: Pareto distributions, dependence, and diversification," Papers 2208.08471, arXiv.org, revised Mar 2024.
    35. Weiping Wu & Yu Lin & Jianjun Gao & Ke Zhou, 2023. "Mean-variance hybrid portfolio optimization with quantile-based risk measure," Papers 2303.15830, arXiv.org, revised Apr 2023.
    36. Andre R. Neveu, 2018. "A survey of network-based analysis and systemic risk measurement," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 241-281, July.
    37. Zähle, Henryk, 2016. "A definition of qualitative robustness for general point estimators, and examples," Journal of Multivariate Analysis, Elsevier, vol. 143(C), pages 12-31.
    38. Aleksy Leeuwenkamp, 2022. "Making heads or tails of systemic risk measures," Papers 2206.02582, arXiv.org, revised Apr 2023.
    39. Bernard, Carole & Kazzi, Rodrigue & Vanduffel, Steven, 2020. "Range Value-at-Risk bounds for unimodal distributions under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 9-24.
    40. Mark H. A. Davis, 2014. "Verification of internal risk measure estimates," Papers 1410.4382, arXiv.org, revised Nov 2015.
    41. Bäuerle, Nicole & Glauner, Alexander, 2018. "Optimal risk allocation in reinsurance networks," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 37-47.
    42. Sally G. Arcidiacono & Damiano Rossello, 2022. "A hybrid approach to the discrepancy in financial performance’s robustness," Operational Research, Springer, vol. 22(5), pages 5441-5476, November.
    43. Emese Lazar & Ning Zhang, 2017. "Model Risk of Expected Shortfall," ICMA Centre Discussion Papers in Finance icma-dp2017-10, Henley Business School, University of Reading.
    44. Kim, Sojung & Weber, Stefan, 2022. "Simulation methods for robust risk assessment and the distorted mix approach," European Journal of Operational Research, Elsevier, vol. 298(1), pages 380-398.
    45. Tobias Fissler & Silvana M. Pesenti, 2022. "Sensitivity Measures Based on Scoring Functions," Papers 2203.00460, arXiv.org, revised Jul 2022.
    46. An Chen & Mitja Stadje & Fangyuan Zhang, 2020. "On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization," Papers 2002.02229, arXiv.org, revised Jun 2022.
    47. Jascha Alexander & Christian Laudag'e & Jorn Sass, 2024. "Risk measures based on target risk profiles," Papers 2409.17676, arXiv.org.
    48. Marcelo Brutti Righi & Marlon Ruoso Moresco, 2020. "Inf-convolution and optimal risk sharing with countable sets of risk measures," Papers 2003.05797, arXiv.org, revised Mar 2022.
    49. Gkillas, Konstantinos & Konstantatos, Christoforos & Papathanasiou, Spyros & Wohar, Mark, 2023. "Estimation of value at risk for copper," Journal of Commodity Markets, Elsevier, vol. 32(C).
    50. Giovanni Paolo Crespi & Elisa Mastrogiacomo, 2020. "Qualitative robustness of set-valued value-at-risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 91(1), pages 25-54, February.
    51. Kratz, Marie & Lok, Y-H & McNeil, Alexander J., 2016. "Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall," ESSEC Working Papers WP1617, ESSEC Research Center, ESSEC Business School.
    52. Mai Jan-Frederik & Schenk Steffen & Scherer Matthias, 2015. "Analyzing model robustness via a distortion of the stochastic root: A Dirichlet prior approach," Statistics & Risk Modeling, De Gruyter, vol. 32(3-4), pages 177-195, December.
    53. Jose Blanchet & Henry Lam & Yang Liu & Ruodu Wang, 2020. "Convolution Bounds on Quantile Aggregation," Papers 2007.09320, arXiv.org, revised Sep 2024.
    54. Yuyu Chen & Taizhong Hu & Ruodu Wang & Zhenfeng Zou, 2024. "Dominance between combinations of infinite-mean Pareto random variables," Papers 2404.18467, arXiv.org, revised Nov 2024.
    55. Fissler Tobias & Ziegel Johanna F., 2021. "On the elicitability of range value at risk," Statistics & Risk Modeling, De Gruyter, vol. 38(1-2), pages 25-46, January.
    56. Chufang Wu & Jia-Wen Gu & Wai-Ki Ching & Chi-Wing Wong, 2024. "Precommitted Strategies with Initial-Time and Intermediate-Time Value-at-Risk Constraints," Journal of Optimization Theory and Applications, Springer, vol. 203(1), pages 880-919, October.
    57. Burzoni, Matteo & Munari, Cosimo & Wang, Ruodu, 2022. "Adjusted Expected Shortfall," Journal of Banking & Finance, Elsevier, vol. 134(C).
    58. Sibbertsen, Philipp & Stahl, Gerhard & Luedtke, Corinna, 2008. "Measuring Model Risk," Hannover Economic Papers (HEP) dp-409, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    59. Härdle, Wolfgang Karl & Ling, Chengxiu, 2018. "How Sensitive are Tail-related Risk Measures in a Contamination Neighbourhood?," IRTG 1792 Discussion Papers 2018-010, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    60. Kratz, Marie & Lok, Yen H. & McNeil, Alexander J., 2018. "Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 393-407.
    61. Boonen, Tim J. & Jiang, Wenjun, 2022. "A marginal indemnity function approach to optimal reinsurance under the Vajda condition," European Journal of Operational Research, Elsevier, vol. 303(2), pages 928-944.
    62. Mengshuo Zhao & Narayanaswamy Balakrishnan & Chuancun Yin, 2024. "Extremal cases of distortion risk measures with partial information," Papers 2404.13637, arXiv.org, revised Oct 2024.
    63. Mengshuo Zhao & Chuancun Yin, 2024. "Best- and worst-case Scenarios for GlueVaR distortion risk measure with Incomplete information," Papers 2409.19902, arXiv.org.
    64. Pitera, Marcin & Schmidt, Thorsten, 2018. "Unbiased estimation of risk," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 133-145.
    65. Enrique Molina‐Muñoz & Andrés Mora‐Valencia & Javier Perote, 2021. "Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4163-4189, July.
    66. Schneider, Judith C. & Schweizer, Nikolaus, 2015. "Robust measurement of (heavy-tailed) risks: Theory and implementation," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 183-203.
    67. Marcin Pitera & Thorsten Schmidt, 2016. "Unbiased estimation of risk," Papers 1603.02615, arXiv.org, revised Aug 2017.
    68. Daniel Bartl & Ludovic Tangpi, 2020. "Non-asymptotic convergence rates for the plug-in estimation of risk measures," Papers 2003.10479, arXiv.org, revised Oct 2022.
    69. Tobias Fissler & Jana Hlavinová & Birgit Rudloff, 2021. "Elicitability and identifiability of set-valued measures of systemic risk," Finance and Stochastics, Springer, vol. 25(1), pages 133-165, January.
    70. Tobias Fissler & Johanna F. Ziegel, 2015. "Higher order elicitability and Osband's principle," Papers 1503.08123, arXiv.org, revised Sep 2015.
    71. Alfonso Novales & Laura Garcia-Jorcano, 2019. "Backtesting Extreme Value Theory models of expected shortfall," Documentos de Trabajo del ICAE 2019-24, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    72. Bignozzi, Valeria & Merlo, Luca & Petrella, Lea, 2024. "Inter-order relations between equivalence for Lp-quantiles of the Student's t distribution," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 44-50.
    73. Koch-Medina Pablo & Munari Cosimo, 2014. "Law-invariant risk measures: Extension properties and qualitative robustness," Statistics & Risk Modeling, De Gruyter, vol. 31(3-4), pages 215-236, December.
    74. Yuyu Chen & Paul Embrechts & Ruodu Wang, 2024. "Risk exchange under infinite-mean Pareto models," Papers 2403.20171, arXiv.org.
    75. Assa, Hirbod, 2015. "On optimal reinsurance policy with distortion risk measures and premiums," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 70-75.
    76. Bellini, Fabio & Fadina, Tolulope & Wang, Ruodu & Wei, Yunran, 2022. "Parametric measures of variability induced by risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 270-284.
    77. Wang, Ruodu & Wei, Yunran, 2020. "Characterizing optimal allocations in quantile-based risk sharing," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 288-300.
    78. Mathieu Cambou & Damir Filipović, 2018. "Replicating portfolio approach to capital calculation," Finance and Stochastics, Springer, vol. 22(1), pages 181-203, January.
    79. Samuel N. Cohen, 2016. "Data-driven nonlinear expectations for statistical uncertainty in decisions," Papers 1609.06545, arXiv.org.
    80. Martin Herdegen & Cosimo Munari, 2023. "An elementary proof of the dual representation of Expected Shortfall," Papers 2306.14506, arXiv.org.
    81. Martin Herdegen & Nazem Khan & Cosimo Munari, 2024. "Risk, utility and sensitivity to large losses," Papers 2405.12154, arXiv.org.
    82. Xiong, Shi & Chen, Weidong, 2022. "A robust hybrid method using dynamic network analysis and Weighted Mahalanobis distance for modeling systemic risk in the international energy market," Energy Economics, Elsevier, vol. 109(C).
    83. Santiago Carrillo Menéndez & Bertrand Kian Hassani, 2021. "Expected Shortfall Reliability—Added Value of Traditional Statistics and Advanced Artificial Intelligence for Market Risk Measurement Purposes," Mathematics, MDPI, vol. 9(17), pages 1-20, September.
    84. Semih Atakan & Kerem Bülbül & Nilay Noyan, 2017. "Minimizing value-at-risk in single-machine scheduling," Annals of Operations Research, Springer, vol. 248(1), pages 25-73, January.
    85. Johanna F. Ziegel, 2013. "Coherence and elicitability," Papers 1303.1690, arXiv.org, revised Mar 2014.
    86. Jan Obloj & Johannes Wiesel, 2021. "Distributionally robust portfolio maximisation and marginal utility pricing in one period financial markets," Papers 2105.00935, arXiv.org, revised Nov 2021.
    87. Xu, Qifa & Chen, Lu & Jiang, Cuixia & Yu, Keming, 2020. "Mixed data sampling expectile regression with applications to measuring financial risk," Economic Modelling, Elsevier, vol. 91(C), pages 469-486.
    88. Sebastian Fuchs & Ruben Schlotter & Klaus D. Schmidt, 2017. "A Review and Some Complements on Quantile Risk Measures and Their Domain," Risks, MDPI, vol. 5(4), pages 1-16, November.
    89. Krätschmer, Volker & Schied, Alexander & Zähle, Henryk, 2012. "Qualitative and infinitesimal robustness of tail-dependent statistical functionals," Journal of Multivariate Analysis, Elsevier, vol. 103(1), pages 35-47, January.
    90. Chris Kenyon & Andrew Green, 2014. "VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution," Papers 1405.7611, arXiv.org.
    91. Hirbod Assa, 2015. "Trade-off Between Robust Risk Measurement and Market Principles," Journal of Optimization Theory and Applications, Springer, vol. 166(1), pages 306-320, July.
    92. Rossello, Damiano, 2015. "Ranking of investment funds: Acceptability versus robustness," European Journal of Operational Research, Elsevier, vol. 245(3), pages 828-836.
    93. Hirbod Assa & Nikolay Gospodinov, 2017. "A Robust Approach to Hedging and Pricing in Imperfect Markets," Risks, MDPI, vol. 5(3), pages 1-20, July.
    94. Jean-Paul Laurent & Hassan Omidi Firouzi, 2022. "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers hal-03679434, HAL.
    95. Andrea Consiglio & Somayyeh Lotfi & Stavros A. Zenios, 2018. "Portfolio diversification in the sovereign credit swap markets," Annals of Operations Research, Springer, vol. 266(1), pages 5-33, July.
    96. Shuo Gong & Yijun Hu & Linxiao Wei, 2022. "Distortion risk measures in random environments: construction and axiomatic characterization," Papers 2211.00520, arXiv.org, revised Mar 2023.
    97. Krätschmer Volker & Schied Alexander & Zähle Henryk, 2015. "Quasi-Hadamard differentiability of general risk functionals and its application," Statistics & Risk Modeling, De Gruyter, vol. 32(1), pages 25-47, April.
    98. Paul Embrechts & Alexander Schied & Ruodu Wang, 2018. "Robustness in the Optimization of Risk Measures," Papers 1809.09268, arXiv.org, revised Feb 2021.
    99. Yunran Wei & Ricardas Zitikis, 2022. "Assessing the difference between integrated quantiles and integrated cumulative distribution functions," Papers 2210.16880, arXiv.org, revised Apr 2023.
    100. Valeria Bignozzi & Andreas Tsanakas, 2016. "Parameter Uncertainty and Residual Estimation Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(4), pages 949-978, December.
    101. Liu, Peng & Wang, Ruodu & Wei, Linxiao, 2020. "Is the inf-convolution of law-invariant preferences law-invariant?," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 144-154.
    102. Susanne Emmer & Marie Kratz & Dirk Tasche, 2013. "What is the best risk measure in practice? A comparison of standard measures," Papers 1312.1645, arXiv.org, revised Apr 2015.
    103. Silvana M. Pesenti, 2021. "Reverse Sensitivity Analysis for Risk Modelling," Papers 2107.01065, arXiv.org, revised May 2022.
    104. Asimit, Alexandru V. & Badescu, Alexandru M. & Verdonck, Tim, 2013. "Optimal risk transfer under quantile-based risk measurers," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 252-265.
    105. Weronika Ormaniec & Marcin Pitera & Sajad Safarveisi & Thorsten Schmidt, 2022. "Estimating value at risk: LSTM vs. GARCH," Papers 2207.10539, arXiv.org.
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    142. Onur Babat & Juan C. Vera & Luis F. Zuluaga, 2021. "Computing near-optimal Value-at-Risk portfolios using Integer Programming techniques," Papers 2107.07339, arXiv.org.
    143. Xue Dong He & Xianhua Peng, 2017. "Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk," Papers 1707.05596, arXiv.org, revised Jan 2018.
    144. Jan Obłój & Johannes Wiesel, 2021. "Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1454-1493, October.
    145. Ruodu Wang & Johanna F. Ziegel, 2014. "Distortion Risk Measures and Elicitability," Papers 1405.3769, arXiv.org, revised May 2014.
    146. Hirbod Assa, 2015. "Optimal risk allocation in a market with non-convex preferences," Papers 1503.04460, arXiv.org.
    147. Matteo Burzoni & Alessandro Doldi & Enea Monzio Compagnoni, 2022. "Risk Sharing with Deep Neural Networks," Papers 2212.11752, arXiv.org, revised Jun 2023.
    148. Marcelo Brutti Righi, 2018. "A theory for combinations of risk measures," Papers 1807.01977, arXiv.org, revised May 2023.
    149. Babat, Onur & Vera, Juan C. & Zuluaga, Luis F., 2018. "Computing near-optimal Value-at-Risk portfolios using integer programming techniques," European Journal of Operational Research, Elsevier, vol. 266(1), pages 304-315.
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    151. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2020. "Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall," International Review of Financial Analysis, Elsevier, vol. 70(C).
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    153. Lwin, Khin T. & Qu, Rong & MacCarthy, Bart L., 2017. "Mean-VaR portfolio optimization: A nonparametric approach," European Journal of Operational Research, Elsevier, vol. 260(2), pages 751-766.
    154. Hirbod Assa, 2015. "Risk management under a prudential policy," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(2), pages 217-230, October.
    155. Fazlollah Soleymani & Mahdi Vasighi, 2022. "Efficient portfolio construction by means of CVaR and k‐means++ clustering analysis: Evidence from the NYSE," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3679-3693, July.
    156. Tobias Fissler & Fangda Liu & Ruodu Wang & Linxiao Wei, 2024. "Elicitability and identifiability of tail risk measures," Papers 2404.14136, arXiv.org, revised Jun 2024.
    157. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2022. "A risk measurement approach from risk-averse stochastic optimization of score functions," Papers 2208.14809, arXiv.org, revised May 2023.
    158. Fuchs Sebastian & Trutschnig Wolfgang, 2020. "On quantile based co-risk measures and their estimation," Dependence Modeling, De Gruyter, vol. 8(1), pages 396-416, January.
    159. Yuyu Chen & Liyuan Lin & Ruodu Wang, 2021. "Risk Aggregation under Dependence Uncertainty and an Order Constraint," Papers 2104.07718, arXiv.org, revised Oct 2021.
    160. Jiarui Chu & Ludovic Tangpi, 2021. "Non-asymptotic estimation of risk measures using stochastic gradient Langevin dynamics," Papers 2111.12248, arXiv.org, revised Feb 2023.
    161. Baishuai Zuo & Chuancun Yin & Jing Yao, 2023. "Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions," Papers 2305.09097, arXiv.org.
    162. Simona Hašková & Petr Fiala, 2019. "A fuzzy approach for the estimation of foreign investment risk based on values of rating indices," Risk Management, Palgrave Macmillan, vol. 21(3), pages 183-199, September.
    163. Paul Embrechts & Giovanni Puccetti & Ludger Rüschendorf & Ruodu Wang & Antonela Beleraj, 2014. "An Academic Response to Basel 3.5," Risks, MDPI, vol. 2(1), pages 1-24, February.
    164. Matteo Burzoni & Ilaria Peri & Chiara Maria Ruffo, 2016. "On the properties of the Lambda value at risk: robustness, elicitability and consistency," Papers 1603.09491, arXiv.org, revised Feb 2017.
    165. Millossovich, Pietro & Tsanakas, Andreas & Wang, Ruodu, 2024. "A theory of multivariate stress testing," European Journal of Operational Research, Elsevier, vol. 318(3), pages 851-866.
    166. Wei Jiang & Steven Kou, 2021. "Simulating risk measures via asymptotic expansions for relative errors," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 907-942, July.
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    169. Yuyu Chen & Ruodu Wang, 2024. "Infinite-mean models in risk management: Discussions and recent advances," Papers 2408.08678, arXiv.org, revised Oct 2024.
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    171. Müller, Fernanda Maria & Santos, Samuel Solgon & Gössling, Thalles Weber & Righi, Marcelo Brutti, 2022. "Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk," Finance Research Letters, Elsevier, vol. 48(C).
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  3. Carlo Acerbi & Giacomo Scandolo, 2008. "Liquidity risk theory and coherent measures of risk," Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 681-692.

    Cited by:

    1. Andreas H Hamel, 2018. "Monetary Measures of Risk," Papers 1812.04354, arXiv.org.
    2. Zsolt Bihary & Péter Csóka & Dávid Zoltán Szabó, 2020. "Spectral risk measure of holding stocks in the long run," Annals of Operations Research, Springer, vol. 295(1), pages 75-89, December.
    3. Bianchetti, Marco & Carlicchi, Mattia, 2012. "Markets Evolution After the Credit Crunch," MPRA Paper 44023, University Library of Munich, Germany.
    4. Péter Csóka & P. Jean-Jacques Herings, 2014. "Risk Allocation under Liquidity Constraints," Working Papers 2014.47, Fondazione Eni Enrico Mattei.
    5. Havran, Dániel & Erb, Tamás, 2015. "Mit veszítünk a piaci súrlódásokkal?. A pénzügyi piacok mikrostruktúrája [Trading mechanisms and market frictions. Microstructure of the financial markets]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 229-262.
    6. Marco Bianchetti & Mattia Carlicchi, 2013. "Markets Evolution After the Credit Crunch," Papers 1301.7078, arXiv.org.
    7. Csóka, Péter & Bihary, Zsolt & Kondor, Gábor, 2018. "A részvénytartás spektrális kockázata hosszú távon [On the spectral measure of risk in holding stocks in the long run]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 687-700.
    8. Peter Csoka & Miklos Pinter, 2011. "On the Impossibility of Fair Risk Allocation," CERS-IE WORKING PAPERS 1117, Institute of Economics, Centre for Economic and Regional Studies.
    9. Sebestyén, Tamás, 2016. "Doktoranduszhallgatók IV. Nyári Műhelye. MKE-PTE KTK, Pécs, 2016. június 3 [The 4th Summer Workshop of Doctoral Students. Hungarian Economics Association/Pécs University, Faculty of Economics]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 1011-1018.
    10. Csóka, Péter, 2017. "Fair risk allocation in illiquid markets," Finance Research Letters, Elsevier, vol. 21(C), pages 228-234.
    11. Judit Hevér & Péter Csóka, 2023. "The effect of funding liquidity regulation and ESG promotion on market liquidity," CERS-IE WORKING PAPERS 2307, Institute of Economics, Centre for Economic and Regional Studies.
    12. Tomasz R. Bielecki & Igor Cialenco & Tao Chen, 2014. "Dynamic Conic Finance via Backward Stochastic Difference Equations," Papers 1412.6459, arXiv.org, revised Dec 2014.
    13. Edward Tsang & Richard Olsen & Shaimaa Masry, 2012. "A formalization of double auction market dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 13(7), pages 981-988, October.
    14. Thomas Paul & Thomas Walther & André Küster-Simic, 2022. "Empirical analysis of the illiquidity premia of German real estate securities," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 203-260, June.
    15. Hevér, Judit, 2017. "A likviditás és a permanens árhatás szerepe a portfólióértékelésben [The role of liquidity policy and permanent price impact in portfolio valuation]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 594-611.
    16. Marco, Bianchetti & Mattia, Carlicchi, 2012. "Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR," MPRA Paper 42248, University Library of Munich, Germany.
    17. Damiano Brigo & Mirela Predescu & Agostino Capponi, 2010. "Credit Default Swaps Liquidity modeling: A survey," Papers 1003.0889, arXiv.org, revised Mar 2010.
    18. Csóka, Péter & Bátyi, Tamás László & Pintér, Miklós & Balog, Dóra, 2011. "Tőkeallokációs módszerek és tulajdonságaik a gyakorlatban [Methods of capital allocation and their characteristics in practice]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 619-632.
    19. Michael Adusei, 2022. "The liquidity risk–financial performance nexus: Evidence from hybrid financial institutions," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(1), pages 31-47, January.
    20. Banerjee, Tathagata & Feinstein, Zachary, 2021. "Price mediated contagion through capital ratio requirements with VWAP liquidation prices," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1147-1160.
    21. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2018. "Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization," Papers 1803.11467, arXiv.org, revised Sep 2018.
    22. Peter Csoka & Judit Hever, 2023. "The Effect of Regulatory Requirements and ESG Promotion on Market Liquidity," MNB Working Papers 2023/1, Magyar Nemzeti Bank (Central Bank of Hungary).
    23. Righi, Marcelo Brutti, 2024. "Star-shaped acceptability indexes," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 170-181.
    24. Balog, Dóra & Bátyi, Tamás László & Csóka, Péter & Pintér, Miklós, 2014. "Properties of risk capital allocation methods: Core Compatibility, Equal Treatment Property and Strong Monotonicity," Corvinus Economics Working Papers (CEWP) 2014/13, Corvinus University of Budapest.
    25. Erindi Allaj, 2014. "Risk measuring under liquidity risk," Papers 1412.6745, arXiv.org.
    26. Fabio Caccioli & Jean-Philippe Bouchaud & J. Doyne Farmer, 2012. "A proposal for impact-adjusted valuation: Critical leverage and execution risk," Papers 1204.0922, arXiv.org, revised Aug 2012.
    27. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2016. "Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach," Papers 1610.07694, arXiv.org, revised Jun 2019.
    28. Daniel Havran & Kata Varadi, 2015. "Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?," CERS-IE WORKING PAPERS 1540, Institute of Economics, Centre for Economic and Regional Studies.
    29. Hevér, Judit, 2020. "A piaci likviditás és a szabályozás kapcsolatának vizsgálata általános egyensúlyelméleti modellkeretben [The effect of regulation on market liquidity: a general equilibrium approach]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 708-733.
    30. Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2020. "Liquidity, implied volatility and tail risk: A comparison of liquidity measures," International Review of Financial Analysis, Elsevier, vol. 69(C).
    31. Jianping Li & Lu Wei & Cheng-Few Lee & Xiaoqian Zhu & Dengsheng Wu, 2018. "Financial statements based bank risk aggregation," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 673-694, April.
    32. Stange, Sebastian & Kaserer, Christoph, 2008. "Why and how to integrate liquidity risk into a VaR-framework," CEFS Working Paper Series 2008-10, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
    33. Csóka, Péter & Hevér, Judit, 2018. "Portfolio valuation under liquidity constraints with permanent price impact," Finance Research Letters, Elsevier, vol. 26(C), pages 235-241.
    34. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2016. "Liquidity Risk And Instabilities In Portfolio Optimization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-28, August.
    35. Daniel Lacker, 2018. "Liquidity, Risk Measures, and Concentration of Measure," Mathematics of Operations Research, INFORMS, vol. 43(3), pages 813-837, August.
    36. Mariano González-Sánchez & Eva M. Ibáñez Jiménez & Ana I. Segovia San Juan, 2021. "Market and Liquidity Risks Using Transaction-by-Transaction Information," Mathematics, MDPI, vol. 9(14), pages 1-14, July.
    37. Marcelo Brutti Righi & Marlon Ruoso Moresco, 2022. "Star-Shaped deviations," Papers 2207.08613, arXiv.org.
    38. Armstrong, John & Brigo, Damiano, 2019. "Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 122-135.
    39. Kountzakis, C. & Polyrakis, I.A., 2013. "Coherent risk measures in general economic models and price bubbles," Journal of Mathematical Economics, Elsevier, vol. 49(3), pages 201-209.
    40. Balog, Dóra & Bátyi, Tamás László & Csóka, Péter & Pintér, Miklós, 2017. "Properties and comparison of risk capital allocation methods," European Journal of Operational Research, Elsevier, vol. 259(2), pages 614-625.
    41. Csóka, Péter & Havran, Dániel & Váradi, Kata, 2013. "Konferencia a pénzügyi piacok likviditásáról. Third Annual Financial Market Liquidity Conference BCE Befektetések és Vállalati Pénzügy Tanszék-MTA KRTK KTI Játékelméleti Kutatócsoport-Nemzetközi Banká," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(4), pages 477-485.
    42. Hans Rau-Bredow, 2019. "Bigger Is Not Always Safer: A Critical Analysis of the Subadditivity Assumption for Coherent Risk Measures," Risks, MDPI, vol. 7(3), pages 1-18, August.
    43. Daniel Lacker, 2015. "Liquidity, risk measures, and concentration of measure," Papers 1510.07033, arXiv.org, revised Oct 2015.

  4. Marco Frittelli & Giacomo Scandolo, 2006. "Risk Measures And Capital Requirements For Processes," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 589-612, October.

    Cited by:

    1. M. Kaina & L. Rüschendorf, 2009. "On convex risk measures on L p -spaces," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 475-495, July.
    2. Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2014. "Beyond cash-additive risk measures: when changing the numéraire fails," Finance and Stochastics, Springer, vol. 18(1), pages 145-173, January.
    3. Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007. "Tradable measure of risk," MPRA Paper 5059, University Library of Munich, Germany.
    4. Michail Anthropelos & Gordan Žitković, 2010. "Partial equilibria with convex capital requirements: existence, uniqueness and stability," Annals of Finance, Springer, vol. 6(1), pages 107-135, January.
    5. Beatrice Acciaio & Hans Föllmer & Irina Penner, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," Finance and Stochastics, Springer, vol. 16(4), pages 669-709, October.
    6. Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2013. "Measuring risk with multiple eligible assets," Papers 1308.3331, arXiv.org, revised Mar 2014.
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    31. Alessandro Doldi & Marco Frittelli, 2021. "Real-Valued Systemic Risk Measures," Mathematics, MDPI, vol. 9(9), pages 1-24, April.
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    41. Alessandro Doldi & Marco Frittelli & Emanuela Rosazza Gianin, 2023. "Are Shortfall Systemic Risk Measures One Dimensional?," Papers 2306.10752, arXiv.org.
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    45. Beatrice Acciaio & Hans Foellmer & Irina Penner, 2010. "Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles," Papers 1002.3627, arXiv.org.
    46. Nicole El Karoui & Claudia Ravanelli, 2007. "Cash Sub-additive Risk Measures and Interest Rate Ambiguity," Papers 0710.4106, arXiv.org.
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    52. Teemu Pennanen & Ari-Pekka Perkkio, 2016. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Papers 1603.02867, arXiv.org.
    53. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2009. "Optimal reinsurance with general risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 374-384, June.
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    56. Michail Anthropelos & Nikolaos E. Frangos & Stylianos Z. Xanthopoulos & Athanasios N. Yannacopoulos, 2008. "On contingent claims pricing in incomplete markets: A risk sharing approach," Papers 0809.4781, arXiv.org, revised Feb 2012.
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    2. Anthony Coache & Sebastian Jaimungal, 2021. "Reinforcement Learning with Dynamic Convex Risk Measures," Papers 2112.13414, arXiv.org, revised Nov 2022.
    3. Frank Riedel & Tobias Hellmann, 2013. "The Foster-Hart Measure of Riskiness for General Gambles," Papers 1301.1471, arXiv.org.
    4. Marco Frittelli & Marco Maggis, 2010. "Dual Representation of Quasiconvex Conditional Maps," Papers 1001.3644, arXiv.org, revised Jan 2010.
    5. Hoffmann, Hannes & Meyer-Brandis, Thilo & Svindland, Gregor, 2016. "Risk-consistent conditional systemic risk measures," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 2014-2037.
    6. Beatrice Acciaio & Hans Föllmer & Irina Penner, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," Finance and Stochastics, Springer, vol. 16(4), pages 669-709, October.
    7. Bion-Nadal, Jocelyne, 2009. "Time consistent dynamic risk processes," Stochastic Processes and their Applications, Elsevier, vol. 119(2), pages 633-654, February.
    8. Ji, Ronglin & Shi, Xuejun & Wang, Shijie & Zhou, Jinming, 2019. "Dynamic risk measures for processes via backward stochastic differential equations," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 43-50.
    9. Andreas H Hamel, 2018. "Monetary Measures of Risk," Papers 1812.04354, arXiv.org.
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    13. Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2014. "A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time," Papers 1409.7028, arXiv.org, revised Sep 2017.
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    22. Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2015, January-A.
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    37. Berend Roorda & Johannes Schumacher, 2016. "Weakly time consistent concave valuations and their dual representations," Finance and Stochastics, Springer, vol. 20(1), pages 123-151, January.
    38. Samuel N. Cohen & Robert J. Elliott, 2008. "Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions," Papers 0810.0055, arXiv.org, revised Jan 2010.
    39. Rosazza Gianin, Emanuela, 2006. "Risk measures via g-expectations," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 19-34, August.
    40. Davi Michel Valladão & Álvaro Veiga & Alexandre Street, 2018. "A Linear Stochastic Programming Model for Optimal Leveraged Portfolio Selection," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 1021-1032, April.
    41. Qinyu Wu & Fan Yang & Ping Zhang, 2023. "Conditional generalized quantiles based on expected utility model and equivalent characterization of properties," Papers 2301.12420, arXiv.org.
    42. Roorda, B. & Schumacher, J.M., 2013. "Membership conditions for consistent families of monetary valuations," Other publications TiSEM 26b66f36-0dc9-4ccf-9b1b-0, Tilburg University, School of Economics and Management.
    43. G. Dorfleitner & J. Gerer, 2020. "Time consistent pricing of options with embedded decisions," Review of Derivatives Research, Springer, vol. 23(1), pages 85-119, April.
    44. Mario Ghossoub & Giulio Principi & Ruodu Wang, 2024. "Allocation Mechanisms in Decentralized Exchange Markets with Frictions," Papers 2404.10900, arXiv.org.
    45. Hannes Hoffmann & Thilo Meyer-Brandis & Gregor Svindland, 2016. "Risk-Consistent Conditional Systemic Risk Measures," Papers 1609.07897, arXiv.org.
    46. Ansaripoor, Amir H. & Oliveira, Fernando S., 2018. "Flexible lease contracts in the fleet replacement problem with alternative fuel vehicles: A real-options approach," European Journal of Operational Research, Elsevier, vol. 266(1), pages 316-327.
    47. Andrzej Ruszczynski & Jianing Yao, 2017. "A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation," Papers 1701.06234, arXiv.org, revised Aug 2020.
    48. Pierre Carpentier & Jean-Philippe Chancelier & Guy Cohen & Michel Lara & Pierre Girardeau, 2012. "Dynamic consistency for stochastic optimal control problems," Annals of Operations Research, Springer, vol. 200(1), pages 247-263, November.
    49. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2006. "Dynamic Variational Preferences," Carlo Alberto Notebooks 1, Collegio Carlo Alberto.
    50. Yi Shen & Zachary Van Oosten & Ruodu Wang, 2024. "Partial Law Invariance and Risk Measures," Papers 2401.17265, arXiv.org, revised Jun 2024.
    51. Drapeau, Samuel & Jamneshan, Asgar, 2016. "Conditional preference orders and their numerical representations," Journal of Mathematical Economics, Elsevier, vol. 63(C), pages 106-118.
    52. Claudia Kluppelberg & Jianing Zhang, 2015. "Time-consistency of risk measures with GARCH volatilities and their estimation," Papers 1504.04774, arXiv.org, revised Feb 2016.
    53. Emmanuel Lepinette & Duc Thinh Vu, 2024. "Coherent Risk Measure on $L^0$: NA Condition, Pricing and Dual Representation," Papers 2405.06764, arXiv.org.
    54. Daniel Lacker, 2015. "Law invariant risk measures and information divergences," Papers 1510.07030, arXiv.org, revised Jun 2016.
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    56. Hans Buehler & Phillip Murray & Ben Wood, 2022. "Deep Bellman Hedging," Papers 2207.00932, arXiv.org, revised Jun 2024.
    57. Roorda, B. & Schumacher, Hans, 2016. "Weakly time consistent concave valuations and their dual representations," Other publications TiSEM 132bdd0b-40dd-44bd-ab64-c, Tilburg University, School of Economics and Management.
    58. Pierre Devolder & Adrien Lebègue, 2016. "Compositions of Conditional Risk Measures and Solvency Capital," Risks, MDPI, vol. 4(4), pages 1-21, December.
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    60. Alessandro Doldi & Marco Frittelli, 2021. "Real-Valued Systemic Risk Measures," Mathematics, MDPI, vol. 9(9), pages 1-24, April.
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    65. Hannes Hoffmann & Thilo Meyer-Brandis & Gregor Svindland, 2016. "Strongly Consistent Multivariate Conditional Risk Measures," Papers 1609.07903, arXiv.org.
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    67. Stadje, Mitja, 2010. "Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 391-404, December.
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