Multivariate Shortfall Risk Allocation and Systemic Risk (Q4635243): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.05351
@@ Property / arXiv ID: 1507.05351 / rank @@
+Normal rank
@@ Property / cites work @@
+SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES
@@ Property / cites work: SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES / rank @@
+Normal rank
@@ Property / cites work @@
+Central Clearing Valuation Adjustment
@@ Property / cites work: Central Clearing Valuation Adjustment / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic simulation: Algorithms and analysis
@@ Property / cites work: Stochastic simulation: Algorithms and analysis / rank @@
+Normal rank
@@ Property / cites work @@
+On elicitable risk measures
@@ Property / cites work: On elicitable risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
+Normal rank
@@ Property / cites work @@
+A unified approach to systemic risk measures via acceptance sets
+Normal rank
@@ Property / cites work @@
+A unified framework for utility maximization problems: An Orlicz space approach
+Normal rank
@@ Property / cites work @@
+Q3400706
@@ Property / cites work: Q3400706 / rank @@
+Normal rank
@@ Property / cites work @@
+RISK MEASURES ON ORLICZ HEARTS
@@ Property / cites work: RISK MEASURES ON ORLICZ HEARTS / rank @@
+Normal rank
@@ Property / cites work @@
+Q4550909
@@ Property / cites work: Q4550909 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk Preferences and Their Robust Representation
@@ Property / cites work: Risk Preferences and Their Robust Representation / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Root Finding and Efficient Estimation of Convex Risk Measures
+Normal rank
@@ Property / cites work @@
+Analysis of Fourier Transform Valuation Formulas and Applications
+Normal rank
@@ Property / cites work @@
+Systemic Risk in Financial Systems
@@ Property / cites work: Systemic Risk in Financial Systems / rank @@
+Normal rank
@@ Property / cites work @@
+Measuring risk with multiple eligible assets
@@ Property / cites work: Measuring risk with multiple eligible assets / rank @@
+Normal rank
@@ Property / cites work @@
+Measures of Systemic Risk
@@ Property / cites work: Measures of Systemic Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Q3996571
@@ Property / cites work: Q3996571 / rank @@
+Normal rank
@@ Property / cites work @@
+Higher order elicitability and Osband's principle
@@ Property / cites work: Higher order elicitability and Osband's principle / rank @@
+Normal rank
@@ Property / cites work @@
+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Magic Points in Finance: Empirical Integration for Parametric Option Pricing
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+Hidden Illiquidity with Multiple Central Counterparties
+Normal rank
@@ Property / cites work @@
+Set-valued risk measures for conical market models
+Normal rank
@@ Property / cites work @@
+Vector-valued coherent risk measures
@@ Property / cites work: Vector-valued coherent risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+Comparative and qualitative robustness for law-invariant risk measures
+Normal rank
@@ Property / cites work @@
+Systemic risk measures on general measurable spaces
+Normal rank
@@ Property / cites work @@
+MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS
+Normal rank
@@ Property / cites work @@
+Convex Analysis
@@ Property / cites work: Convex Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Variational Analysis
@@ Property / cites work: Variational Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Comparison of multivariate risks and positive dependence
+Normal rank
@@ Property / cites work @@
+Law invariant convex risk measures for portfolio vectors
+Normal rank
@@ Property / cites work @@
+DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
+Normal rank
@@ Property / cites work @@
+The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
+Normal rank
@@ Property / cites work @@
+COHERENCE AND ELICITABILITY
@@ Property / cites work: COHERENCE AND ELICITABILITY / rank @@
+Normal rank