Risk Capital allocation by coherent risk measures based on one-sided moments

By Tom Fischer. 2003

156 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/3d23eb9ac79f572f3f879d24a186ee5472f08bb7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Pavlo A. Krokhmal
2. Alexander S. Cherny

In Finance

1. Pavlo A. Krokhmal
2. Alexander S. Cherny

In Management Science and Operations Research

1. Pavlo A. Krokhmal
2. Alexander S. Cherny

Citations in the corpus

• Pricing with Coherent Risk (2006, background): “Let us remark that this problem was considered in [21], [24], [28], [39], [44], and [53].”
• After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures (2006, unknown): “36 The problems of parameter and model are discussed in more detail in Derman (1997), Geske (1999), Cairns (2000), Dowd (2000; 2005a, ch.”
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION (2005, unknown): “In general, however, it is not monotonous for c > 0 (see Fischer 2003 for a class of coherent risk measures based on one-sided moments).”
• Higher moment coherent risk measures (2007, methodology): “Among the risk measures that satisfy the coherency properties, there are Conditional Value-at-Risk, Maximum Loss (Pflug 2000, Acerbi and Tasche 2002), coherent risk measures based on one-sided moments (Fischer 2003), etc.”