Bertrand Melenberg

Economics and Econometrics · 2001–2013

A researcher in the Science corpus: 8 papers; trusts 14 researchers and is trusted by 21 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 33 citations into it; #12,472 of 23,481 by trust here, #10,386 by citations
• Finance — 23 citations into it; #3,162 of 10,518 by trust here, #6,671 by citations
• Management Science and Operations Research — 18 citations into it; #2,325 of 11,946 by trust here, #1,836 by citations
• Statistics and Probability — 9 citations into it; #6,132 of 12,932 by trust here, #2,693 by citations

Whom Bertrand Melenberg trusts overall

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

1. Freddy Delbaen
2. S. Chen
3. Ken West
4. Jeroen Kerkhof
5. P. Bostock
6. Qiang Dai
7. Francis A. Longstaff
8. Daniel L. Millimet
9. Jeremy Berkowitz

Who trusts Bertrand Melenberg overall

1. Qi'an Chen
2. Pilar Abad
3. K. Turner
4. Marie Kratz
5. Jeroen Kerkhof
6. Qiang Dai
7. John C. Duchi
8. Tatsunori B. Hashimoto
9. Richard Gerlach
10. Henry Lam

Papers from Bertrand Melenberg's perspective

Ordered by how strongly the researchers Bertrand Melenberg 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. Specification Analysis of Affine Term Structure Models
5. MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
6. Backtesting for Risk-Based Regulatory Capital
7. The Cyclical Effects of the Basel II Capital Requirements
8. Nonparametric Estimation of Expected Shortfall
9. A Methodology for Assessing Model Risk and its Application to the Implied Volatility Function Model (Journal of Financial and Quantitative Analysis)
10. Constructing Uncertainty Sets for Robust Linear Optimization (Operational Research)

Their papers

• Robust Solutions of Optimization Problems Affected by Uncertain Probabilities (2013) — 1,035 citations
• Identifying reduced-form relations with panel data: The case of pollution and income (2009) — 126 citations
• The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions (2003) — 114 citations
• Model risk and capital reserves (2010) — 116 citations
• Backtesting for Risk-Based Regulatory Capital (2004) — 145 citations
• An analysis of housing expenditure using semiparametric models and panel data (2001) — 62 citations
• Longevity risk in portfolios of pension annuities (2008) — 113 citations
• Environmental Kuznets Curves for Co2: Heterogeneity Versus Homogeneity (2005) — 50 citations