Details about Carlo Acerbi

Access statistics for papers by Carlo Acerbi.

Last updated 2024-05-06. Update your information in the RePEc Author Service.

Short-id: pac74

Working Papers

2002

1. On the coherence of Expected Shortfall
   Papers, arXiv.org View citations (572)
   See also Journal Article On the coherence of expected shortfall, Journal of Banking & Finance, Elsevier (2002) View citations (526) (2002)
2. Portfolio Optimization with Spectral Measures of Risk
   Papers, arXiv.org View citations (18)

2001

3. Expected Shortfall as a Tool for Financial Risk Management
   Papers, arXiv.org View citations (59)
4. Expected Shortfall: a natural coherent alternative to Value at Risk
   Papers, arXiv.org View citations (43)
   See also Journal Article Expected Shortfall: A Natural Coherent Alternative to Value at Risk, Economic Notes, Banca Monte dei Paschi di Siena SpA (2002) View citations (186) (2002)
5. Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem
   Papers, arXiv.org View citations (9)

Journal Articles

2008

1. Liquidity risk theory and coherent measures of risk
   Quantitative Finance, 2008, 8, (7), 681-692 View citations (50)

2007

2. Coherent measures of risk in everyday market practice
   Quantitative Finance, 2007, 7, (4), 359-364 View citations (22)

2002

3. Expected Shortfall: A Natural Coherent Alternative to Value at Risk
   Economic Notes, 2002, 31, (2), 379-388 View citations (186)
   See also Working Paper Expected Shortfall: a natural coherent alternative to Value at Risk, Papers (2001) View citations (43) (2001)
4. On the coherence of expected shortfall
   Journal of Banking & Finance, 2002, 26, (7), 1487-1503 View citations (526)
   See also Working Paper On the coherence of Expected Shortfall, Papers (2002) View citations (572) (2002)
5. Spectral measures of risk: A coherent representation of subjective risk aversion
   Journal of Banking & Finance, 2002, 26, (7), 1505-1518 View citations (354)

Chapters

2023

1. Backtestability and the Ridge Backtest
   Chapter 3 in Peter Carr Gedenkschrift Research Advances in Mathematical Finance, 2023, pp 61-100