Systemic risk statistics with scenario analysis
From MaRDI portal
Publication:5866094
DOI10.1080/03610926.2018.1477959OpenAlexW2912085852MaRDI QIDQ5866094
Publication date: 10 June 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2018.1477959
convexitypositive homogeneityscenario analysisdata-based systemic risk measuressystemic risk statistics
Stochastic models in economics (91B70) Resource and cost allocation (including fair division, apportionment, etc.) (91B32)
Cites Work
- Risk-consistent conditional systemic risk measures
- Systemic risk measures on general measurable spaces
- Set-valued average value at risk and its computation
- Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices
- A duality theory for set-valued functions. I: Fenchel conjugation theory
- Convex measures of risk and trading constraints
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- Strongly consistent multivariate conditional risk measures
- Set-valued loss-based risk measures
- Coherent and convex loss-based risk measures for portfolio vectors
- Vector-valued coherent risk measures
- Set-valued risk measures for conical market models
- A note on convex risk statistic
- Measuring risk with multiple eligible assets
- Dual representations for systemic risk measures
- Quasiconvex risk statistics with scenario analysis
- Set-valued risk statistics with scenario analysis
- Coherent and convex risk measures for portfolios with applications
- Consistent risk measures for portfolio vectors
- A note on natural risk statistics
- Coherent Measures of Risk
- MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS
- Mathematical Risk Analysis
- Law invariant risk measures on L ∞ (ℝ d )
- Duality for Set-Valued Measures of Risk
- Measures of Systemic Risk
- COMONOTONIC MEASURES OF MULTIVARIATE RISKS
- External Risk Measures and Basel Accords
- Handbook on Systemic Risk
This page was built for publication: Systemic risk statistics with scenario analysis
