Estimation of systemic shortfall risk measure using stochastic algorithms

DOI10.1137/22m1539344zbMath1544.91349MaRDI QIDQ6606846

Achraf Tamtalini, Sarah Kaakaï, Anis Matoussi

Publication date: 17 September 2024

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic algorithmsmultivariate risk measuresshortfall riskstochastic root findingrisk allocations

Mathematics Subject Classification ID

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

This page was built for publication: Estimation of systemic shortfall risk measure using stochastic algorithms