Expected shortfall (English Wikipedia)

Analysis of information sources in references of the Wikipedia article "Expected shortfall" in English language version.

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10doi.org

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10semanticscholar.org

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4web.archive.org

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3washington.edu

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3hu-berlin.de

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3ssrn.com

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2arxiv.org

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1bis.org

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1kit.edu

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1utl.pt

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1uc3m.es

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1handle.net

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1unifi.it

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1psu.edu

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1uq.edu.au

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arxiv.org

Carlo Acerbi; Dirk Tasche (2002). "Expected Shortfall: a natural coherent alternative to Value at Risk" (PDF). Economic Notes. 31 (2): 379–388. arXiv:cond-mat/0105191. doi:10.1111/1468-0300.00091. S2CID 10772757. Retrieved April 25, 2012.
Norton, Matthew; Khokhlov, Valentyn; Uryasev, Stan (2018-11-27). "Calculating CVaR and bPOE for Common Probability Distributions With Application to Portfolio Optimization and Density Estimation". arXiv:1811.11301 [q-fin.RM].

bis.org

Carlo Acerbi; Dirk Tasche (2002). "Expected Shortfall: a natural coherent alternative to Value at Risk" (PDF). Economic Notes. 31 (2): 379–388. arXiv:cond-mat/0105191. doi:10.1111/1468-0300.00091. S2CID 10772757. Retrieved April 25, 2012.

doi.org

Rockafellar, R. Tyrrell; Uryasev, Stanislav (2000). "Optimization of conditional value-at-risk" (PDF). Journal of Risk. 2 (3): 21–42. doi:10.21314/JOR.2000.038. S2CID 854622.
Rockafellar, R. Tyrrell; Royset, Johannes (2010). "On Buffered Failure Probability in Design and Optimization of Structures" (PDF). Reliability Engineering and System Safety. 95 (5): 499–510. doi:10.1016/j.ress.2010.01.001. S2CID 1653873.
Carlo Acerbi; Dirk Tasche (2002). "Expected Shortfall: a natural coherent alternative to Value at Risk" (PDF). Economic Notes. 31 (2): 379–388. arXiv:cond-mat/0105191. doi:10.1111/1468-0300.00091. S2CID 10772757. Retrieved April 25, 2012.
Patrick Cheridito; Tianhui Li (2008). "Dual characterization of properties of risk measures on Orlicz hearts". Mathematics and Financial Economics. 2: 2–29. doi:10.1007/s11579-008-0013-7. S2CID 121880657.
Balbás, A.; Garrido, J.; Mayoral, S. (2008). "Properties of Distortion Risk Measures" (PDF). Methodology and Computing in Applied Probability. 11 (3): 385. doi:10.1007/s11009-008-9089-z. hdl:10016/14071. S2CID 53327887.
Rockafellar, R. Tyrrell; Uryasev, Stanislav (2000). "Optimization of conditional value-at-risk" (PDF). Journal of Risk. 2 (3): 21–42. doi:10.21314/JOR.2000.038. S2CID 854622.
Khokhlov, Valentyn (2018-06-21). "Conditional Value-at-Risk for Uncommon Distributions". doi:10.2139/ssrn.3200629. S2CID 219371851. SSRN 3200629. {{cite journal}}: Cite journal requires |journal= (help)
Stucchi, Patrizia (2011-05-31). "Moment-Based CVaR Estimation: Quasi-Closed Formulas". doi:10.2139/ssrn.1855986. S2CID 124145569. SSRN 1855986. {{cite journal}}: Cite journal requires |journal= (help)
Detlefsen, Kai; Scandolo, Giacomo (2005). "Conditional and dynamic convex risk measures" (PDF). Finance Stoch. 9 (4): 539–561. CiteSeerX 10.1.1.453.4944. doi:10.1007/s00780-005-0159-6. S2CID 10579202. Retrieved October 11, 2011.^{[dead link‍]}
Low, R.K.Y.; Alcock, J.; Faff, R.; Brailsford, T. (2013). "Canonical vine copulas in the context of modern portfolio management: Are they worth it?" (PDF). Journal of Banking & Finance. 37 (8): 3085–3099. doi:10.1016/j.jbankfin.2013.02.036. S2CID 154138333.

handle.net

hdl.handle.net

Balbás, A.; Garrido, J.; Mayoral, S. (2008). "Properties of Distortion Risk Measures" (PDF). Methodology and Computing in Applied Probability. 11 (3): 385. doi:10.1007/s11009-008-9089-z. hdl:10016/14071. S2CID 53327887.

hu-berlin.de

wws.mathematik.hu-berlin.de

Föllmer, H.; Schied, A. (2008). "Convex and coherent risk measures" (PDF). Retrieved October 4, 2011. {{cite journal}}: Cite journal requires |journal= (help)
Acciaio, Beatrice; Penner, Irina (2011). "Dynamic convex risk measures" (PDF). Archived from the original (PDF) on September 2, 2011. Retrieved October 11, 2011. {{cite journal}}: Cite journal requires |journal= (help)
Cheridito, Patrick; Kupper, Michael (May 2010). "Composition of time-consistent dynamic monetary risk measures in discrete time" (PDF). International Journal of Theoretical and Applied Finance. Archived from the original (PDF) on July 19, 2011. Retrieved February 4, 2011.

kit.edu

statistik.ets.kit.edu

"Average Value at Risk" (PDF). Archived from the original (PDF) on July 19, 2011. Retrieved February 2, 2011.

psu.edu

citeseerx.ist.psu.edu

Detlefsen, Kai; Scandolo, Giacomo (2005). "Conditional and dynamic convex risk measures" (PDF). Finance Stoch. 9 (4): 539–561. CiteSeerX 10.1.1.453.4944. doi:10.1007/s00780-005-0159-6. S2CID 10579202. Retrieved October 11, 2011.^{[dead link‍]}

semanticscholar.org

api.semanticscholar.org

Rockafellar, R. Tyrrell; Uryasev, Stanislav (2000). "Optimization of conditional value-at-risk" (PDF). Journal of Risk. 2 (3): 21–42. doi:10.21314/JOR.2000.038. S2CID 854622.
Rockafellar, R. Tyrrell; Royset, Johannes (2010). "On Buffered Failure Probability in Design and Optimization of Structures" (PDF). Reliability Engineering and System Safety. 95 (5): 499–510. doi:10.1016/j.ress.2010.01.001. S2CID 1653873.
Carlo Acerbi; Dirk Tasche (2002). "Expected Shortfall: a natural coherent alternative to Value at Risk" (PDF). Economic Notes. 31 (2): 379–388. arXiv:cond-mat/0105191. doi:10.1111/1468-0300.00091. S2CID 10772757. Retrieved April 25, 2012.
Patrick Cheridito; Tianhui Li (2008). "Dual characterization of properties of risk measures on Orlicz hearts". Mathematics and Financial Economics. 2: 2–29. doi:10.1007/s11579-008-0013-7. S2CID 121880657.
Balbás, A.; Garrido, J.; Mayoral, S. (2008). "Properties of Distortion Risk Measures" (PDF). Methodology and Computing in Applied Probability. 11 (3): 385. doi:10.1007/s11009-008-9089-z. hdl:10016/14071. S2CID 53327887.
Rockafellar, R. Tyrrell; Uryasev, Stanislav (2000). "Optimization of conditional value-at-risk" (PDF). Journal of Risk. 2 (3): 21–42. doi:10.21314/JOR.2000.038. S2CID 854622.
Khokhlov, Valentyn (2018-06-21). "Conditional Value-at-Risk for Uncommon Distributions". doi:10.2139/ssrn.3200629. S2CID 219371851. SSRN 3200629. {{cite journal}}: Cite journal requires |journal= (help)
Stucchi, Patrizia (2011-05-31). "Moment-Based CVaR Estimation: Quasi-Closed Formulas". doi:10.2139/ssrn.1855986. S2CID 124145569. SSRN 1855986. {{cite journal}}: Cite journal requires |journal= (help)
Detlefsen, Kai; Scandolo, Giacomo (2005). "Conditional and dynamic convex risk measures" (PDF). Finance Stoch. 9 (4): 539–561. CiteSeerX 10.1.1.453.4944. doi:10.1007/s00780-005-0159-6. S2CID 10579202. Retrieved October 11, 2011.^{[dead link‍]}
Low, R.K.Y.; Alcock, J.; Faff, R.; Brailsford, T. (2013). "Canonical vine copulas in the context of modern portfolio management: Are they worth it?" (PDF). Journal of Banking & Finance. 37 (8): 3085–3099. doi:10.1016/j.jbankfin.2013.02.036. S2CID 154138333.

ssrn.com

papers.ssrn.com

Khokhlov, Valentyn (2018-06-21). "Conditional Value-at-Risk for Uncommon Distributions". doi:10.2139/ssrn.3200629. S2CID 219371851. SSRN 3200629. {{cite journal}}: Cite journal requires |journal= (help)
Stucchi, Patrizia (2011-05-31). "Moment-Based CVaR Estimation: Quasi-Closed Formulas". doi:10.2139/ssrn.1855986. S2CID 124145569. SSRN 1855986. {{cite journal}}: Cite journal requires |journal= (help)
Khokhlov, Valentyn (2018-06-17). "Conditional Value-at-Risk for Log-Distributions". SSRN 3197929.

uc3m.es

e-archivo.uc3m.es

Balbás, A.; Garrido, J.; Mayoral, S. (2008). "Properties of Distortion Risk Measures" (PDF). Methodology and Computing in Applied Probability. 11 (3): 385. doi:10.1007/s11009-008-9089-z. hdl:10016/14071. S2CID 53327887.

unifi.it

dmd.unifi.it

Detlefsen, Kai; Scandolo, Giacomo (2005). "Conditional and dynamic convex risk measures" (PDF). Finance Stoch. 9 (4): 539–561. CiteSeerX 10.1.1.453.4944. doi:10.1007/s00780-005-0159-6. S2CID 10579202. Retrieved October 11, 2011.^{[dead link‍]}

uq.edu.au

espace.library.uq.edu.au

Low, R.K.Y.; Alcock, J.; Faff, R.; Brailsford, T. (2013). "Canonical vine copulas in the context of modern portfolio management: Are they worth it?" (PDF). Journal of Banking & Finance. 37 (8): 3085–3099. doi:10.1016/j.jbankfin.2013.02.036. S2CID 154138333.

utl.pt

pascal.iseg.utl.pt

Julia L. Wirch; Mary R. Hardy. "Distortion Risk Measures: Coherence and Stochastic Dominance" (PDF). Archived from the original (PDF) on July 5, 2016. Retrieved March 10, 2012.

washington.edu

sites.math.washington.edu

Rockafellar, R. Tyrrell; Uryasev, Stanislav (2000). "Optimization of conditional value-at-risk" (PDF). Journal of Risk. 2 (3): 21–42. doi:10.21314/JOR.2000.038. S2CID 854622.
Rockafellar, R. Tyrrell; Royset, Johannes (2010). "On Buffered Failure Probability in Design and Optimization of Structures" (PDF). Reliability Engineering and System Safety. 95 (5): 499–510. doi:10.1016/j.ress.2010.01.001. S2CID 1653873.
Rockafellar, R. Tyrrell; Uryasev, Stanislav (2000). "Optimization of conditional value-at-risk" (PDF). Journal of Risk. 2 (3): 21–42. doi:10.21314/JOR.2000.038. S2CID 854622.

web.archive.org

"Average Value at Risk" (PDF). Archived from the original (PDF) on July 19, 2011. Retrieved February 2, 2011.
Julia L. Wirch; Mary R. Hardy. "Distortion Risk Measures: Coherence and Stochastic Dominance" (PDF). Archived from the original (PDF) on July 5, 2016. Retrieved March 10, 2012.
Acciaio, Beatrice; Penner, Irina (2011). "Dynamic convex risk measures" (PDF). Archived from the original (PDF) on September 2, 2011. Retrieved October 11, 2011. {{cite journal}}: Cite journal requires |journal= (help)
Cheridito, Patrick; Kupper, Michael (May 2010). "Composition of time-consistent dynamic monetary risk measures in discrete time" (PDF). International Journal of Theoretical and Applied Finance. Archived from the original (PDF) on July 19, 2011. Retrieved February 4, 2011.