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Details about Carlo Acerbi

Workplace:Befektetések és Vállalati Pénzügy Tanszék (Department of Finance), Gazdálkodástudományi Kar (Faculty of Business Administration), Budapesti Corvinus Egyetem (Corvinus University of Budapest), (more information at EDIRC)
Essex Business School, University of Essex, (more information at EDIRC)

Access statistics for papers by Carlo Acerbi.

Last updated 2014-08-08. Update your information in the RePEc Author Service.

Short-id: pac74


Jump to Journal Articles

Working Papers

2002

  1. On the coherence of Expected Shortfall
    Papers, arXiv.org Downloads View citations (235)
    See also Journal Article in Journal of Banking & Finance (2002)
  2. Portfolio Optimization with Spectral Measures of Risk
    Papers, arXiv.org Downloads View citations (8)

2001

  1. Expected Shortfall as a Tool for Financial Risk Management
    Papers, arXiv.org Downloads View citations (28)
  2. Expected Shortfall: a natural coherent alternative to Value at Risk
    Papers, arXiv.org Downloads View citations (34)
  3. Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem
    Papers, arXiv.org Downloads View citations (5)

Journal Articles

2008

  1. Liquidity risk theory and coherent measures of risk
    Quantitative Finance, 2008, 8, (7), 681-692 Downloads View citations (23)

2007

  1. Coherent measures of risk in everyday market practice
    Quantitative Finance, 2007, 7, (4), 359-364 Downloads View citations (10)

2002

  1. On the coherence of expected shortfall
    Journal of Banking & Finance, 2002, 26, (7), 1487-1503 Downloads View citations (234)
    See also Working Paper (2002)
  2. Spectral measures of risk: A coherent representation of subjective risk aversion
    Journal of Banking & Finance, 2002, 26, (7), 1505-1518 Downloads View citations (137)
 
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