684 citations · 1.2k across the 32 of their papers we have counts for
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cond-mat.stat-mech2003★ 5 cited
Concave risk measures in international capital regulation
Imre Kondor, Andras Szepessy, Tunde Ujvarosi
We show that some specific market risk measures implied by current international capital regulation (the Basel Accords and the Capital Adequacy Directive of the European Union) vio…
cond-mat.stat-mech2003★ 92 cited
Estimated Correlation Matrices and Portfolio Optimization
Szilard Pafka, Imre Kondor
Financial correlations play a central role in financial theory and also in many practical applications. From theoretical point of view, the key interest is in a proper description…