On Haezendonck risk measures
By Fabio Bellini, Emanuela Rosazza Gianin. 2008
62 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/b09317e07785b0596d92aa13288034f9023558f9
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Fabio Bellini
- Emanuela Rosazza Gianin
- David Saunders
- Dan Rosen
- Marco Frittelli
- Hans Föllmer
- Giacomo Scandolo
- Alexander Schied
In Finance
- Fabio Bellini
- Emanuela Rosazza Gianin
- David Saunders
- Dan Rosen
- Long Jiang
- Shige Peng
- Marco Frittelli
- Robert J. R. Elliott
In Management Science and Operations Research
- Fabio Bellini
- Emanuela Rosazza Gianin
- David Saunders
- Dan Rosen
- Long Jiang
- Shige Peng
- Marco Frittelli
- J. Ziegel
Citations in the corpus
- Robust return risk measures (2017, unknown): “By extending the well-known Rockafellar–Uryasev [35] construction (see also [3,20], and [1,2]), we introduce robust Haezendonck–Goovaerts risk measures, analyze their properties, and provide their dual representation as coherent measures of risk.”
- Haezendonck-Goovaerts risk measures and Orlicz quantiles (2012, background): “Hence, (4) follows from the arguments above.”
- Risk factor contributions in portfolio credit risk models (2010, background): “1 See Bonfim (2009) for a recent study of the impact of macro-factors on credit risk .”