Conditional Systemic Risk Measures
From MaRDI portal
Publication:5013836
DOI10.1137/20M1370616zbMath1479.91429arXiv2010.11515OpenAlexW3214122348MaRDI QIDQ5013836
Alessandro Doldi, Marco Frittelli
Publication date: 2 December 2021
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2010.11515
Statistical methods; risk measures (91G70) Financial networks (including contagion, systemic risk, regulation) (91G45)
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