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

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Publication:6196751

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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 optimization mixed integer programming systemic risk measure set-valued risk measure Eisenberg-Noe model Rogers-Veraart model

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

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