Aggregation-robustness and model uncertainty of regulatory risk measures-Reference-Cited by-同舟云学术

Aggregation-robustness and model uncertainty of regulatory risk measures

Published:2015-09-17 Issue:4 Volume:19 Page:763-790
ISSN:0949-2984
Container-title:Finance and Stochastics
language:en
Short-container-title:Finance Stoch

Author:

Embrechts Paul,Wang Bin,Wang Ruodu

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s00780-015-0273-z.pdf

Reference41 articles.

1. Aas, K., Puccetti, G.: Bounds for total economic capital: the DNB case study. Extremes 17(4), 693–715 (2014)

2. Acerbi, C.: Spectral measures of risk: a coherent representation of subjective risk aversion. J. Bank. Finance 26, 1505–1518 (2002)

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

4. BCBS: Consultative Document May 2012. Fundamental review of the trading book. Basel Committee on Banking Supervision. Bank for International Settlements, Basel (2012). Available online http://www.bis.org/publ/bcbs219.htm

5. BCBS: Consultative Document October 2013. Fundamental review of the trading book: a revised market risk framework. Basel Committee on Banking Supervision. Bank for International Settlements, Basel (2013). Available online http://www.bis.org/publ/bcbs265.htm

Cited by 134 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Fast procedure to compute empirical and Bernstein copulas;Applied Mathematics and Computation;2024-09

2. Optimizing distortion riskmetrics with distributional uncertainty;Mathematical Programming;2024-07-29

3. Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions;Communications in Statistics - Theory and Methods;2024-07-25

4. Robust Risk Management via Multi-marginal Optimal Transport;Journal of Optimization Theory and Applications;2024-05-09

5. An extreme worst-case risk measure by expectile;Advances in Applied Probability;2024-04-02