Dan Rosen

Finance · 2001–2010

A researcher in the Science corpus: 2 papers; trusts 8 researchers and is trusted by 5 researchers here, as inferred from the citation graph.

Subfields

• Finance — 14 citations into it; #5,480 of 10,518 by trust here, #5,523 by citations
• Management Science and Operations Research — 11 citations into it; #5,843 of 11,946 by trust here, #5,548 by citations
• Economics and Econometrics — 6 citations into it

Whom Dan Rosen trusts overall

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

1. Paul Glasserman
2. Ilya M. Sobol
3. Michael Kalkbrener
4. Dirk Tasche
5. Stanislav Uryasev
6. Michel Denault
7. Michael B. Gordy
8. Diana Bonfim
9. Fabio Bellini
10. R. Tyrrell Rockafellar

Who trusts Dan Rosen overall

1. Rabih A. Jabr
2. R. Tyrrell Rockafellar
3. Stanislav Uryasev
4. Shushang Zhu

Papers from Dan Rosen's perspective

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

1. Optimization of conditional value-at risk
2. Coherent allocation of risk capital
3. Sensible and Efficient Capital Allocation for Credit Portfolios
4. AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
5. Sensitivity Analysis of Values at Risk
6. Conditional value-at-risk: optimization algorithms and applications (IEEE Conference on Computational Intelligence for Financial Engineering & Economics)
7. A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules
8. Applying importance sampling for estimating coherent credit risk contributions
9. Measuring Marginal Risk Contributions in Credit Portfolios
10. On Haezendonck risk measures

Their papers

• Credit risk optimization with Conditional Value-at-Risk criterion (2001) — 332 citations
• Risk factor contributions in portfolio credit risk models (2010) — 80 citations