Technical paper/Conditional value-at-risk (CVAR)
Outperforming benchmarks with their derivatives: theory and empirical evidence
This paper looks for optimal explicit constructions and empirical tests in regards to pricing and hedging derivatives with coherent risk measures.
Suboptimality in portfolio conditional value-at-risk optimization
This paper considers the portfolio optimization problem, with conditional value-at-risk as the objective.
Estimation of risk measures on electricity markets with fat-tailed distributions
This paper proposes an AR–GARCH-type EVT model with various innovations for energy price risk quantification.
Back-testing expected shortfall
Three easy-to-implement methods for back-testing expected shortfall
A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents
We consider the class of risk measures associated with optimized certainty equivalents.
The properties of expectiles explored
Expectiles’ risk contributions are essentially the same as those of expected shortfall