Mathematical Programming · 2001 · 300 citations · 11 references
BusinessFinanceMathematicsFinancial EconomicsFinancial Risk ManagementQuantitative FinanceCredit AnalysisCredit RiskCredit Risk AssessmentFinancial RiskRisk OptimizationValue At RiskConditional Value-at-riskConditional Value-at-risk OptimizationCredit Risk ModelingCredit Value At RiskValue-at-risk Optimization
11
Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance · 1999 · 9K citations · Full text
Business, Finance, Risk Management +14
Optimization of conditional value-at-risk
R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.5K citations
Business, Finance, Risk Management +17
Darrell Duffie, Jun Pan · The Journal of Derivatives · 1997 · 1.3K citations
Management, Economics, Finance +10
Conditional value-at-risk: optimization algorithms and applications
Stan Uryasev · 2002 · 376 citations
Business, Finance, Mathematics +17
Thomas C. Wilson · Federal Reserve Bank of New York Economic policy review · 1998 · 358 citations
Management, Finance, Risk Management +14