SSRN Electronic Journal · 2005 · 29 citations · 38 references
BusinessEconomicsFinanceEconometricsFinancial EconomicsQuantitative FinanceAsset Return ModelingExtreme Value TheoryFinancial RiskRisk MeasurementRisk-return AnalysisValue At RiskConfidence LevelExpected ShortfallExtreme Value AnalysisFat-tailed Return DistributionsGeneralized Pareto DistributionHeavy-tailed DistributionsHeavy-tailed Loss DistributionsHeavy-tailed Loss Modeling
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Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance · 1999 · 9K citations · Full text
Business, Finance, Risk Management +14
The Variation of Certain Speculative Prices
Benoît B. Mandelbrot · The Journal of Business · 1963 · 4.7K citations
Engineering, Economics, Finance +11
On the coherence of expected shortfall
Carlo Acerbi, Dirk Tasche · Journal of Banking & Finance · 2002 · 1.6K citations
Business, Finance, Risk Management +17
Convex measures of risk and trading constraints
Hans Föllmer, Alexander Schied · Finance and Stochastics · 2002 · 1.5K citations