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Expected Shortfall as a Tool for Financial Risk ManagementarXiv
arxiv.org
von C Acerbi · · Zitiert von: 426 — Submission history. From: Carlo Acerbi [view email] [v1] Fri, 16 Feb :11:50 UTC (10 KB). Full-text links: Access Paper: View a PDF of ... von C Acerbi · · Zitiert von: 426 — Submission history. From: Carlo Acerbi [view email] [v1] Fri, 16 Feb :11:50 UTC (10 KB). Full-text links: Access Paper: View a PDF of ...
General Properties of Backtestable StatisticsSSRN
papers.ssrn.com
von C Acerbi · · Zitiert von: 80 — Carlo Acerbi. MSCI Inc. Balazs Szekely. MSCI Inc. Date Written ... Carlo Acerbi (Contact Author). MSCI Inc. ( email ). Geneva Switzerland ... von C Acerbi · · Zitiert von: 80 — Carlo Acerbi. MSCI Inc. Balazs Szekely. MSCI Inc. Date Written ... Carlo Acerbi (Contact Author). MSCI Inc. ( email ). Geneva Switzerland ...
Spectral Measures of Risk - Acerbi Wiley Online Library
onlinelibrary.wiley.com
von C Acerbi · · Zitiert von: 3 — Encyclopedia of Quantitative Finance. Full Access. Spectral Measures of Risk. Carlo Acerbi,. Carlo Acerbi. Abaxbank, Corso Monforte, Milan ... von C Acerbi · · Zitiert von: 3 — Encyclopedia of Quantitative Finance. Full Access. Spectral Measures of Risk. Carlo Acerbi,. Carlo Acerbi. Abaxbank, Corso Monforte, Milan ...
BACKTESTING EXPECTED SHORTFALLdlu-umich.github.io
dlu-umich.github.io
von C Acerbi · · Zitiert von: 404 — Carlo Acerbi currently works in the MSCI Geneva office as a risk researcher ... ∗. †. 1. Page 4. be as low as ... von C Acerbi · · Zitiert von: 404 — Carlo Acerbi currently works in the MSCI Geneva office as a risk researcher ... ∗. †. 1. Page 4. be as low as ...
a natural coherent alternative to Value at Risk - cond-matarXiv
arxiv.org
von C Acerbi · · Zitiert von: 996 — Journal reference: Economic notes, 31(2)Submission history. From: Carlo Acerbi [view email] [v1] Wed, 9 May :30:37 UTC ... von C Acerbi · · Zitiert von: 996 — Journal reference: Economic notes, 31(2)Submission history. From: Carlo Acerbi [view email] [v1] Wed, 9 May :30:37 UTC ...
Liquidity Risk Theory and Coherent Measures of RiskSSRN
papers.ssrn.com
von C Acerbi · · Zitiert von: 191 — Carlo Acerbi · Giacomo Scandolo · Do you have a job opening that you would like to promote on SSRN? · Paper statistics · Related eJournals · Recommended Papers. von C Acerbi · · Zitiert von: 191 — Carlo Acerbi · Giacomo Scandolo · Do you have a job opening that you would like to promote on SSRN? · Paper statistics · Related eJournals · Recommended Papers.
Back-testing expected shortfallProQuest
search.proquest.com
von C Acerbi · · Zitiert von: 404 — Carlo Acerbi is an executive director in the analytics research team at MSCI Inc. Balázs Székely is a senior associate in the same team. The authors are ... von C Acerbi · · Zitiert von: 404 — Carlo Acerbi is an executive director in the analytics research team at MSCI Inc. Balázs Székely is a senior associate in the same team. The authors are ...
Call for papersWirtschaftswissenschaftliche Fakultät • Universität Passau
www.wiwi.uni-passau.de
* Carlo Acerbi (MSCI). * Jonathan A. Batten (Monash University). * Angelo Ranaldo (University of St. Gallen). * Niklas Wagner (Passau University). For ... * Carlo Acerbi (MSCI). * Jonathan A. Batten (Monash University). * Angelo Ranaldo (University of St. Gallen). * Niklas Wagner (Passau University). For ...
General Properties of Backtestable StatisticsCRM, Montreal
www.crm.umontreal.ca
von C Acerbi · Zitiert von: 80 — Carlo Acerbi * . We propose a formal definition of backtestable statistic: a backtest is a null expected value involving only the ... von C Acerbi · Zitiert von: 80 — Carlo Acerbi * . We propose a formal definition of backtestable statistic: a backtest is a null expected value involving only the ...
Master thesisCBS Research Portal
research.cbs.dk
von A El-Adoui — Carlo Acerbi (MSCI) and Balazs Szekely (MSCI) proposed three different backtesting methods for expected shortfall. The following test have been introduced ... von A El-Adoui — Carlo Acerbi (MSCI) and Balazs Szekely (MSCI) proposed three different backtesting methods for expected shortfall. The following test have been introduced ...
Risk-Sensitive Online Algorithms (Extended Abstract)Proceedings of Machine Learning Research
proceedings.mlr.press
von N Christianson · — Carlo Acerbi and Dirk Tasche. On the coherence of expected shortfall. Journal of Banking & Finance, 26. (7):1487–1503, July ISSN doi ... von N Christianson · — Carlo Acerbi and Dirk Tasche. On the coherence of expected shortfall. Journal of Banking & Finance, 26. (7):1487–1503, July ISSN doi ...
[cond-mat ] On the coherence of Expected Shortfall
arxiv.org
Authors: Carlo Acerbi, Dirk Tasche. (Submitted on 17 Apr (v1), last revised 2 May (this version, v5)). Abstract: Expected Shortfall (ES) in several ...
Liquidity Risk Theory and Coherent Measures of Risk by Carlo Acerbi,...
papers.ssrn.com
We discuss liquidity risk from a pure risk - theoretical point of view in the axiomatic context of Coherent Measures of Risk. We propose a formalism for Liquidi
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