Jeroen Kerkhof

Finance · 2004–2010

A researcher in the Science corpus: 2 papers; trusts 4 researchers and is trusted by 10 researchers here, as inferred from the citation graph.

Subfields

• Finance — 12 citations into it; #3,578 of 10,518 by trust here, #8,309 by citations
• Economics and Econometrics — 8 citations into it
• Management Science and Operations Research — 7 citations into it; #3,594 of 11,946 by trust here, #8,062 by citations

Whom Jeroen Kerkhof trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Freddy Delbaen
2. S. Chen
3. Ken West
4. Jeremy Berkowitz
5. Bertrand Melenberg
6. Rama Cont
7. F. Heid
8. Yasuhiro Yamai
9. John C. Hull

Who trusts Jeroen Kerkhof overall

1. Qi'an Chen
2. Pilar Abad
3. Marie Kratz
4. Richard Gerlach
5. Sonia Benito
6. Y. Lok
7. Bertrand Melenberg
8. Carmen López
9. Hans Schumacher
10. Alexander J. McNeil

Papers from Jeroen Kerkhof's perspective

Ordered by how strongly the researchers Jeroen Kerkhof trusts endorse each paper. Same corpus, a different order for every researcher.

1. Coherent Risk Measures on General Probability Spaces
2. Asymptotic Inference about Predictive Ability
3. On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall
4. MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
5. Backtesting for Risk-Based Regulatory Capital
6. The Cyclical Effects of the Basel II Capital Requirements
7. Nonparametric Estimation of Expected Shortfall
8. A Methodology for Assessing Model Risk and its Application to the Implied Volatility Function Model (Journal of Financial and Quantitative Analysis)
9. Convex measures of risk and trading constraints (Finance and Stochastics)
10. Generalized autoregressive conditional heteroskedasticity

Their papers

• Model risk and capital reserves (2010) — 116 citations
• Backtesting for Risk-Based Regulatory Capital (2004) — 145 citations