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20202026
most citedAn unexpected stochastic dominance: Pareto distributions, dependence, and diversification

4 citations · 9 across the 6 of their papers we have counts for

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q-fin.ST2024★ 1 cited

Elicitability and identifiability of tail risk measures

Tobias Fissler, Fangda Liu, Ruodu Wang +1

Tail risk measures are fully determined by the distribution of the underlying loss beyond its quantile at a certain level, with Value-at-Risk, Expected Shortfall and Range Value-at…