Dual representations for systemic risk measures

DOI10.1007/s11579-019-00249-7zbMath1433.91187arXiv1607.03430OpenAlexW2479618307WikidataQ126834187 ScholiaQ126834187MaRDI QIDQ2299390

Birgit Rudloff, Çağın Ararat

Publication date: 21 February 2020

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.03430

zbMATH Keywords

relative entropyconvex dualitypenalty functionrisk measurefinancial networksystemic riskdual representationshortfall riskmultivariate risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (13)

A new coherent multivariate average-value-at-risk ⋮ Dual representations for systemic risk measures based on acceptance sets ⋮ Set-valued dynamic risk measures for processes and for vectors ⋮ Multivariate systemic risk measures and computation by deep learning algorithms ⋮ Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments ⋮ Optimal network compression ⋮ Set-valued backward stochastic differential equations ⋮ Short Communication: Robust Market-Adjusted Systemic Risk Measures ⋮ Multi-utility representations of incomplete preferences induced by set-valued risk measures ⋮ CAPITAL ALLOCATION FOR SET-VALUED RISK MEASURES ⋮ Time consistency for scalar multivariate risk measures ⋮ Conditional Systemic Risk Measures ⋮ Systemic risk statistics with scenario analysis

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