On fairness of systemic risk measures

DOI10.1007/s00780-020-00417-4zbMath1433.91188arXiv1803.09898OpenAlexW3005031461MaRDI QIDQ2308182

Francesca Biagini, Jean-Pierre Fouque, Thilo Meyer-Brandis, Marco Frittelli

Publication date: 25 March 2020

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.09898

zbMATH Keywords

fairnessrandom allocationsrisk allocationsystemic risk measures

Mathematics Subject Classification ID

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

Related Items (8)

Dual representations for systemic risk measures based on acceptance sets ⋮ Systemic optimal risk transfer equilibrium ⋮ Multivariate systemic risk measures and computation by deep learning algorithms ⋮ Systemic risk models for disjoint and overlapping groups with equilibrium strategies ⋮ Short Communication: Are Shortfall Systemic Risk Measures One Dimensional? ⋮ Short Communication: Robust Market-Adjusted Systemic Risk Measures ⋮ Conditional Systemic Risk Measures ⋮ Suffocating Fire Sales

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