Carlo Acerbi
Names
| first: | Carlo |
| last: | Acerbi |
Identifer
| RePEc Short-ID: | pac74 |
Contact
Affiliations
-
University of Essex
/ Essex Business School (weight: 50%)
- EDIRC entry
- location:
-
Budapesti Corvinus Egyetem
/ Gazdálkodástudományi Kar
/ Befektetések és Vállalati Pénzügy Tanszék (weight: 50%)
- EDIRC entry
- location:
Research profile
author of:
- Expected Shortfall as a Tool for Financial Risk Management (RePEc:arx:papers:cond-mat/0102304)
by Carlo Acerbi & Claudio Nordio & Carlo Sirtori - On the coherence of Expected Shortfall (RePEc:arx:papers:cond-mat/0104295)
by Carlo Acerbi & Dirk Tasche - Expected Shortfall: a natural coherent alternative to Value at Risk (RePEc:arx:papers:cond-mat/0105191)
by Carlo Acerbi & Dirk Tasche - Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem (RePEc:arx:papers:cond-mat/0107190)
by Carlo Acerbi - Portfolio Optimization with Spectral Measures of Risk (RePEc:arx:papers:cond-mat/0203607)
by Acerbi Carlo & Simonetti Prospero - Expected Shortfall: A Natural Coherent Alternative to Value at Risk (RePEc:bla:ecnote:v:31:y:2002:i:2:p:379-388)
by Carlo Acerbi & Dirk Tasche - On the coherence of expected shortfall (RePEc:eee:jbfina:v:26:y:2002:i:7:p:1487-1503)
by Acerbi, Carlo & Tasche, Dirk - Spectral measures of risk: A coherent representation of subjective risk aversion (RePEc:eee:jbfina:v:26:y:2002:i:7:p:1505-1518)
by Acerbi, Carlo - Coherent measures of risk in everyday market practice (RePEc:taf:quantf:v:7:y:2007:i:4:p:359-364)
by Carlo Acerbi - Liquidity risk theory and coherent measures of risk (RePEc:taf:quantf:v:8:y:2008:i:7:p:681-692)
by Carlo Acerbi & Giacomo Scandolo - Backtestability and the Ridge Backtest (RePEc:wsi:wschap:9789811280306_0003)
by Carlo Acerbi & Balazs Szekely