Computation of Systemic Risk Measures: A Mixed-Integer Programming Approach

DOI10.1287/opre.2021.0040arXiv1903.08367OpenAlexW4386958364MaRDI QIDQ6196751

Unnamed Author, Çağın Ararat

Publication date: 15 March 2024

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.08367

zbMATH Keywords

vector optimizationmixed integer programmingsystemic risk measureset-valued risk measureEisenberg-Noe modelRogers-Veraart model

Mathematics Subject Classification ID

Mathematical programming (90Cxx)