Conditional Systemic Risk Measures (Q5013836)

scientific article; zbMATH DE number 7438178

Language	Label	Description	Also known as
English	Conditional Systemic Risk Measures	scientific article; zbMATH DE number 7438178

Statements

instance of

scholarly article

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title

Conditional Systemic Risk Measures (English)

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SIAM Journal on Financial Mathematics

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publication date

2 December 2021

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full work available at URL

https://arxiv.org/abs/2010.11515

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zbMATH Keywords

conditional risk

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systemic risk

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conditional equilibrium

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dynamic risk measures

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MaRDI profile type

MaRDI publication profile

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cites work

Q5386174

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Dual representations for systemic risk measures

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Dual representations for systemic risk measures based on acceptance sets

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Multivariate Shortfall Risk Allocation and Systemic Risk

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Coherent Measures of Risk

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Measure and integration theory. Transl. from the German by Robert B. Burckel

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Systemic optimal risk transfer equilibrium

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A unified approach to systemic risk measures via acceptance sets

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On fairness of systemic risk measures

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Q3400706

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Dynamic risk measures: Time consistency and risk measures from BMO martingales

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Multivariate utility maximization with proportional transaction costs

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Q4555783

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Time consistency for set-valued dynamic risk measures for bounded discrete-time processes

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Representation of the penalty term of dynamic concave utilities

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Conditional and dynamic convex risk measures

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The algebra of conditional sets and the concepts of conditional topology and compactness

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A Fenchel-Moreau theorem for $\bar L^0$-valued functions

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Stopping Times and Directed Processes

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Time consistency of dynamic risk measures in markets with transaction costs

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A Comparison of Techniques for Dynamic Multivariate Risk Measures

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Multi-portfolio time consistency for set-valued convex and coherent risk measures

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A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle

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Measures of Systemic Risk

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Separation and duality in locally $L^0$-convex modules

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Approaches to Conditional Risk

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Spatial risk measures and their local specification: The locally law-invariant case

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Spatial Risk Measures: Local Specification and Boundary Risk

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Convex measures of risk and trading constraints

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Stochastic finance. An introduction in discrete time.

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Dual Representation of Quasi-convex Conditional Maps

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Complete duality for quasiconvex dynamic risk measures on modules of the L p -type

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Conditionally evenly convex sets and evenly quasi-convex maps

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RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES

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Relations between some basic results derived from two kinds of topologies for a random locally convex module

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Risk-consistent conditional systemic risk measures

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Strongly consistent multivariate conditional risk measures

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Systemic risk measures on general measurable spaces

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Dynamic systemic risk measures for bounded discrete time processes

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Q4657107

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Q4000065

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Dynamic coherent risk measures

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Time consistency conditions for acceptability measures, with an application to tail value at risk

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Membership conditions for consistent families of monetary valuations

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Weakly time consistent concave valuations and their dual representations

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Risk measures via $g$-expectations

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VECTOR-VALUED COHERENT RISK MEASURE PROCESSES

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Update rules for convex risk measures

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DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY

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Identifiers

zbMATH Open document ID

1479.91429

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DOI

10.1137/20M1370616

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5013836