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What is the best risk measure in practice? A comparison of standard measures

https://doi.org/10.21314/jor.2015.318

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Density forecasting: a survey

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Law invariant risk measures have the Fatou property

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Quantitative Risk Management

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Modelling of extremal events in insurance and finance

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Coherent risk measures

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Multivariate extremes and the aggregation of dependent risks: examples and counter-examples

inferredcites →https://doi.org/10.1007/s10687-014-0197-6openalex-snapshot

Normex, a new method for evaluating the distribution of aggregated heavy tailed risks

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Handbook of Economic Forecasting

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Elements of Financial Risk Management

inferredcites →https://doi.org/10.1016/j.insmatheco.2008.08.001openalex-snapshot

Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness

inferredcites →https://doi.org/10.1016/j.insmatheco.2013.10.015openalex-snapshot

Generalized quantiles as risk measures

inferredcites →https://doi.org/10.1016/j.jbankfin.2004.08.010openalex-snapshot

Value-at-risk versus expected shortfall: A practical perspective

inferredcites →https://doi.org/10.1016/j.jbankfin.2013.03.014openalex-snapshot

Model uncertainty and VaR aggregation

inferredcites →https://doi.org/10.1016/j.jeconom.2012.08.011openalex-snapshot

Fat tails, VaR and subadditivity

inferredcites →https://doi.org/10.1016/j.sorms.2013.03.001openalex-snapshot

The fundamental risk quadrangle in risk management, optimization and statistical estimation

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Expected shortfall and beyond

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Forecasting Economic Time Series

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Correlation and Dependence in Risk Management: Properties and Pitfalls

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Robustness and sensitivity analysis of risk measurement procedures

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Multivariate extremes, aggregation and risk estimation

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Backtesting Value-at-Risk: A Duration-Based Approach

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Building cost functions minimizing to some summary statistics

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Coherent Measures of Risk

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Forecasting Economic Time Series

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AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION

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COHERENCE AND ELICITABILITY

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inferredcites →https://doi.org/10.1146/annurev-statistics-022513-115631openalex-snapshot

Statistics and Quantitative Risk Management for Banking and Insurance

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Multivariate Density Forecast Evaluation and Calibration In Financial Risk Management: High-Frequency Returns on Foreign Exchange

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Strictly Proper Scoring Rules, Prediction, and Estimation

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Comparing Density Forecasts via Weighted Likelihood Ratio Tests

inferredcites →https://doi.org/10.1198/jasa.2011.r10138openalex-snapshot

Making and Evaluating Point Forecasts

inferredcites →https://doi.org/10.1198/jbes.2010.08110openalex-snapshot

Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules

inferredcites →https://doi.org/10.1214/13-ejs823openalex-snapshot

Combining predictive distributions

inferredcites →https://doi.org/10.1214/aoms/1177729394openalex-snapshot

Remarks on a Multivariate Transformation

inferredcites →https://doi.org/10.1214/aos/1176343003openalex-snapshot

Statistical Inference Using Extreme Order Statistics

inferredcites →https://doi.org/10.21314/jor.2005.110openalex-snapshot

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inferredcites →https://doi.org/10.21314/jor.2007.146openalex-snapshot

A review of backtesting and backtesting procedures

inferredcites →https://doi.org/10.21314/jor.2013.269openalex-snapshot

Modified expected shortfall: a new robust coherent risk measure

inferredcites →https://doi.org/10.2139/ssrn.2065723openalex-snapshot

Conceptualizing Robustness in Risk Management

inferredcites →https://doi.org/10.2139/ssrn.2252463openalex-snapshot

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inferredcites →https://doi.org/10.2139/ssrn.2334746openalex-snapshot

Elicitable Risk Measures

inferredcites →https://doi.org/10.2307/1911031openalex-snapshot

Asymmetric Least Squares Estimation and Testing

inferredcites →https://doi.org/10.2307/2527342openalex-snapshot

Evaluating Density Forecasts with Applications to Financial Risk Management

inferredcites →https://doi.org/10.3386/t0169openalex-snapshot

Comparing Predictive Accuracy

inferredcites →https://doi.org/10.3390/risks2010025openalex-snapshot

An Academic Response to Basel 3.5

inferredcites →https://doi.org/10.3929/ethz-a-004948972openalex-snapshot

On some mathematical aspects of dynamic financial analysis

inferredcites →https://doi.org/10.48550/arxiv.1311.0270openalex-snapshot

There is a VaR beyond usual approximations

inferredcites →https://doi.org/10.5281/zenodo.4355666openalex-snapshot

Providing Incentives for Better Cost Forecasting

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Implicit Multivariate Backtesting Expected Shortfall

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On the Estimation of the Distribution of Aggregated Heavy‐Tailed Risks: Application to Risk Measures

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ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY

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inferred← citeshttps://doi.org/10.1214/16-ejs1173openalex-snapshot

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inferred← citeshttps://doi.org/10.2139/ssrn.2937665openalex-snapshot

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inferred← citeshttps://doi.org/10.2139/ssrn.2966181openalex-snapshot

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inferred← citeshttps://doi.org/10.2139/ssrn.3099067openalex-snapshot

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inferred← citeshttps://doi.org/10.2139/ssrn.3514508openalex-snapshot

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inferred← citeshttps://doi.org/10.2139/ssrn.4149461openalex-snapshot

Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning

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Range Value-at-Risk under Distributional Ambiguity: Tight Bounds with Support Information

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inferred← citeshttps://doi.org/10.2139/ssrn.4867321openalex-snapshot

Adaptive Conformal Inference for Computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets

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inferred← citeshttps://doi.org/10.26481/dis.20191205jlopenalex-snapshot

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inferred← citeshttps://doi.org/10.31926/but.es.2022.15.64.1.9openalex-snapshot

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inferred← citeshttps://doi.org/10.3233/rda-231521openalex-snapshot

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inferred← citeshttps://doi.org/10.3390/computation11020028openalex-snapshot

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inferred← citeshttps://doi.org/10.3390/en14196119openalex-snapshot

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inferred← citeshttps://doi.org/10.3390/jrfm14040182openalex-snapshot

Analysis and Forecasting of Risk in Count Processes

inferred← citeshttps://doi.org/10.3390/jrfm14060251openalex-snapshot

Systemic Risk Modeling with Lévy Copulas

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