apologies for the breadth of the question. Have tried to find on the forum a good list of references for 'the above' however haven't seen such. Keywords such as CVAR / spectral have not yielded a convenient collation, so am asking from the experts could there be compiled a list of texts / papers to get into some neighbourhood of the frontline of quantitative risk analysis? Can be arbitrarily mathematically technical, however some convenient books also helpful in addition to papers. If the question is superfluous, just let me know, thanks.

Am aware of the books by:




and what I guess is a classical paper of Rockafellar & Uryasev

But if answers could be appended / the question edited to compile such a list would be very grateful. If it does fill a gap hopefully such a list could be of benefit to others. Have seen similar lists compiled eg for essential quant books however nothing specifically on risk measure theory as it is today (wishing to get up to date).


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.