168 citations · 455 across the 62 of their papers we have counts for
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q-fin.MF2021★ 1 cited
Risk Concentration and the Mean-Expected Shortfall Criterion
Xia Han, Bin Wang, Ruodu Wang +1
Expected Shortfall (ES, also known as CVaR) is the most important coherent risk measure in finance, insurance, risk management, and engineering. Recently, Wang and Zitikis (2021) p…
q-fin.MF2018★ 1 cited
Scenario-based Risk Evaluation
Ruodu Wang, Johanna F. Ziegel
Risk measures such as Expected Shortfall (ES) and Value-at-Risk (VaR) have been prominent in banking regulation and financial risk management. Motivated by practical considerations…