# Risk measure

## Papers overview

Semantic Scholar uses AI to extract papers important to this topic.

Highly Cited

2011

Highly Cited

2011

- International Encyclopedia of Statistical Science
- 2011

Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operationalâ€¦Â (More)

Is this relevant?

Highly Cited

2005

Highly Cited

2005

- SIAM Journal on Optimization
- 2005

We consider stochastic programs with risk measures in the objective and study stability properties as well as decompositionâ€¦Â (More)

Is this relevant?

Highly Cited

2005

Highly Cited

2005

- Finance and Stochastics
- 2005

We develop a methodology for optimal design of financial instruments aimed to hedge some forms of risk that is not traded onâ€¦Â (More)

Is this relevant?

Highly Cited

2003

Highly Cited

2003

- 2003

Motivated from second-order stochastic dominance, we introduce a risk measure that we call shortfall. We examine shortfallâ€™sâ€¦Â (More)

Is this relevant?

Highly Cited

2002

Highly Cited

2002

- 2002

This paper introduces a set of axioms that define convex risk measures. Duality theory provides the representation theorem forâ€¦Â (More)

Is this relevant?

Highly Cited

2002

Highly Cited

2002

- 2002

We study a space of coherent risk measuresMÏ† obtained as certain expansions of coherent elementary basis measures. In this spaceâ€¦Â (More)

Is this relevant?

Highly Cited

2001

Highly Cited

2001

- 2001

We present a simple model of systemic risk and we show that each financial institutionâ€™s contribution to systemic risk can beâ€¦Â (More)

Is this relevant?

Highly Cited

2000

Highly Cited

2000

- 2000

We extend the definition of coherent risk measures, as introduced by Artzner, Delbaen, Eber and Heath, to general probabilityâ€¦Â (More)

Is this relevant?

Highly Cited

1999

Highly Cited

1999

- 1999

We propose a method for estimating VaR and related risk measures describing the tail of the conditional distribution of aâ€¦Â (More)

Is this relevant?

Highly Cited

1999

Highly Cited

1999

- European Journal of Operational Research
- 1999

Two methods are frequently used for modeling the choice among uncertain outcomes: stochastic dominance and meanâ€“risk approachesâ€¦Â (More)

Is this relevant?