Brian G. Peterson

Finance · 2008–2014

A researcher in the Science corpus: 3 papers; trusts 19 researchers and is trusted by 1 researcher here, as inferred from the citation graph.

Subfields

• Finance — 19 citations into it; #8,712 of 10,518 by trust here, #10,047 by citations
• Management Science and Operations Research — 13 citations into it; #9,882 of 11,946 by trust here, #11,360 by citations
• Economics and Econometrics — 7 citations into it

Whom Brian G. Peterson trusts overall

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

1. Edward Qian
2. Peter J. Rousseeuw
3. Robert F. Engle
4. Sébastien-Yves Laurent
5. Michel Denault
6. P. Giot
7. Philippe Lambert
8. C. Acerbi
9. Paul Embrechts
10. Keith Kuester

Who trusts Brian G. Peterson overall

1. L. Pham

Papers from Brian G. Peterson's perspective

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

1. Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls
2. Optimization of conditional value-at risk
3. Expected Shortfall: a natural coherent alternative to Value at Risk
4. Decomposing Portfolio Value-at-Risk: A General Analysis
5. Value-at-Risk for long and short trading positions
6. Modelling financial time series using GARCH-type models with a skewed student distribution for the innovations
7. Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?
8. Dynamic Conditional Correlation
9. Sensitivity Analysis of Values at Risk
10. Coherent allocation of risk capital

Their papers

• Econometric tools for performance and risk analysis (2014) — 108 citations
• Asset Allocation with Conditional Value-at-Risk Budgets (2013) — 73 citations
• Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns (2008) — 131 citations