78 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Bank of JapanJP1 paper
- Federal Department of FinanceCH1 paper
- King's College LondonGB1 paper
- Kyoto UniversityJP1 paper
- Osnabrück UniversityDE1 paper
- University of Applied Sciences St. GallenCH1 paper
- University of Cape TownZA1 paper
- University of OxfordGB1 paper
- University of St.GallenCH1 paper
- University of TurinIT1 paper
Showing cond-mat.stat-mechShow all
2 papers · 1 filter
cond-mat.stat-mech2002
A shortcut to sign Incremental Value-at-Risk for risk allocation
Dirk Tasche, Luisa Tibiletti
Approximate Incremental Value-at-Risk formulae provide an easy-to-use preliminary guideline for risk allocation. Both the cases of risk adding and risk pooling are examined and bet…
cond-mat.stat-mech2001★ 15 cited
On the coherence of Expected Shortfall
Carlo Acerbi, Dirk Tasche
Expected Shortfall (ES) in several variants has been proposed as remedy for the defi-ciencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most…