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Acerbi C., Tasche, D. (2001) On the Coherence of Expected Shortfall. Working paper.

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Bibliografia

Acerbi, C., Nordio, C., Sirtori, C. (2001) Expected Shortfall as a Tool for Financial Risk Management.

Acerbi C., Tasche, D. (2001) On the Coherence of Expected Shortfall. Working paper.

Acerbi, C. (2002) Spectral Measures of Risk: a Coherent Representation of Subjective Risk Aversion.

Journal of Banking & Finance 26(7), 1505-1518.

Acerbi, C., Szekely, B., 2015, Backtesting Expected Shortfall.

Artzner, P., Delbaen, F., Eber J.-M., Heath, D. (1997) Thinking coherently.

Artzner, P., Delbaen,F., Eber, J.-M., Heath, D. (1999) Coherent measures of risk.

Basel Committee on Banking Supervision, (1999). Capital Requirements and Bank Behavior: The Impact of the Basel Accord, Working Paper no.1, BIS, Basel, April.

Basel Committee on Banking Supervision, (2001). The New Basel Capital Accord, Consultative Document, BIS, Basel, January.

Campbell, S.,( 2005) A review of backtesting and backtesting procedures. Finance and Economics Discussion Series, Divisions of Research and Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.,

Christoffersen, P. F., Pelletier, D., (2004). Backtesting Value-at-Risk: A duration-based approach.

Delbaen, F. (1998) Coherent risk measures on general probability spaces.

Haas, M. (2001). New Methods in Backtesting, Financial Engineering Research Center Caesar.

Kupiec, P.H. (1995). Techniques for Verifying the Accuracy of Risk Measurement Model. The Journal of Derivatives

Jadhav, D., Ramanathan, T.V. e Naik-Nimbalkar, U.V. , (2014), Modified expected shortfall: a new robust coherent, Journal of Risk 16(1) pp 69-83

Kusuoka, S. (2001) On law invariant coherent risk measures, in: Advances in Mathematical Economics.

Lopez, J.A., (1999a) Regulatory Evaluation of Value-at-Risk Models," Journal of Risk,

Lopez, J.A., (1999b), Methods for Evaluating Value-at-Risk Models," Federal Reserve Bank of San Francisco Economic Review,

Rockafellar, R.T., Uryasev, S. (2001) Conditional Value-at-Risk for general loss distributions.

Serfling, R. J., (1980), Approximation Theorems of Mathematical Statistics. Wiley Szego, G., (2002). Meaures of risk. Journal of Banking & Finance 26(2).

Tasche, D. (2000) Conditional expectation as quantile derivative.

Uryasev, S. (2000) Conditional Value-at-Risk: Optimization Algorithms and Applications.

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Yamai, Y., Yoshiba, T. (2001) On the validity of value-at-risk: comparative analyses with Expected Shortfall.

Yamai, Y., Yoshiba, T. (2002a) Comparative Analyses of Expected Shortfall and VaR:

their Estimation Error, Decomposition, and Optimization,” Monetary and Economic Studies.

Yamai, Y., Yoshiba, T. (2002b) “Comparative Analyses of Expected Shortfall and VaR (2):

Expected Utility Maximization and Tail Risk,” Monetary and Economic Studies.

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