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Coherence and elicitability

Citations

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Cited by:

  1. Bignozzi, Valeria & Puccetti, Giovanni & Rüschendorf, Ludger, 2015. "Reducing model risk via positive and negative dependence assumptions," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 17-26.
  2. Argyropoulos, Christos & Panopoulou, Ekaterini, 2019. "Backtesting VaR and ES under the magnifying glass," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 22-37.
  3. Marcelo Brutti Righi, 2019. "A composition between risk and deviation measures," Annals of Operations Research, Springer, vol. 282(1), pages 299-313, November.
  4. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Multivariate Extensions Of Expectiles Risk Measures," Working Papers hal-01367277, HAL.
  5. 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.
  6. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
  7. 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.
  8. Samuel Drapeau & Mekonnen Tadese, 2019. "Dual Representation of Expectile based Expected Shortfall and Its Properties," Papers 1911.03245, arXiv.org.
  9. Rafael Frongillo & Ian A. Kash, 2015. "Elicitation Complexity of Statistical Properties," Papers 1506.07212, arXiv.org, revised Aug 2020.
  10. repec:hal:journl:hal-00921283 is not listed on IDEAS
  11. Alois Pichler, 2024. "Connection between higher order measures of risk and stochastic dominance," Computational Management Science, Springer, vol. 21(2), pages 1-28, December.
  12. Maume-Deschamps Véronique & Rullière Didier & Said Khalil, 2017. "Multivariate extensions of expectiles risk measures," Dependence Modeling, De Gruyter, vol. 5(1), pages 20-44, January.
  13. Ruodu Wang & Johanna F. Ziegel, 2014. "Distortion Risk Measures and Elicitability," Papers 1405.3769, arXiv.org, revised May 2014.
  14. Klaus Herrmann & Marius Hofert & Melina Mailhot, 2017. "Multivariate Geometric Expectiles," Papers 1704.01503, arXiv.org, revised Jan 2018.
  15. Samuel Drapeau & Mekonnen Tadese, 2019. "Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall," Papers 1906.09729, arXiv.org, revised Jun 2020.
  16. Werner Ehm & Tilmann Gneiting & Alexander Jordan & Fabian Krüger, 2016. "Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(3), pages 505-562, June.
  17. Yannick Armenti & Stéphane Crépey & Samuel Drapeau & Antonis Papapantoleon, 2018. "Multivariate Shortfall Risk Allocation and Systemic Risk," Working Papers hal-01764398, HAL.
  18. Freddy Delbaen & Fabio Bellini & Valeria Bignozzi & Johanna F. Ziegel, 2014. "Risk measures with the CxLS property," Papers 1411.0426, arXiv.org.
  19. Emilio Cardona & Andrés Mora-Valencia & Daniel Velásquez-Gaviria, 2019. "Testing expected shortfall: an application to emerging market stock indices," Risk Management, Palgrave Macmillan, vol. 21(3), pages 153-182, September.
  20. Marcell Béli & Kata Váradi, 2017. "A possible methodology for determining the initial margin," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 16(2), pages 119-147.
  21. Gao, Suhao & Yu, Zhen, 2023. "Parametric expectile regression and its application for premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 242-256.
  22. Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
  23. 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.
  24. 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.
  25. Labopin-Richard T. & Gamboa F. & Garivier A. & Iooss B., 2016. "Bregman superquantiles. Estimation methods and applications," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-33, March.
  26. Lina Liao & Cheolwoo Park & Hosik Choi, 2019. "Penalized expectile regression: an alternative to penalized quantile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(2), pages 409-438, April.
  27. Jakobsons Edgars, 2016. "Scenario aggregation method for portfolio expectile optimization," Statistics & Risk Modeling, De Gruyter, vol. 33(1-2), pages 51-65, September.
  28. Alex Golodnikov & Viktor Kuzmenko & Stan Uryasev, 2019. "CVaR Regression Based on the Relation between CVaR and Mixed-Quantile Quadrangles," JRFM, MDPI, vol. 12(3), pages 1-22, June.
  29. Fernanda Maria Müller & Marcelo Brutti Righi, 2018. "Numerical comparison of multivariate models to forecasting risk measures," Risk Management, Palgrave Macmillan, vol. 20(1), pages 29-50, February.
  30. Bellini, Fabio & Klar, Bernhard & Müller, Alfred & Rosazza Gianin, Emanuela, 2014. "Generalized quantiles as risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 41-48.
  31. Di Bernardino, E. & Fernández-Ponce, J.M. & Palacios-Rodríguez, F. & Rodríguez-Griñolo, M.R., 2015. "On multivariate extensions of the conditional Value-at-Risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 1-16.
  32. Giovanni Barone‐Adesi & Chiara Legnazzi & Carlo Sala, 2019. "Option‐implied risk measures: An empirical examination on the S&P 500 index," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1409-1428, October.
  33. Mark H. A. Davis, 2014. "Verification of internal risk measure estimates," Papers 1410.4382, arXiv.org, revised Nov 2015.
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