Deconstructing systemic risk: a reverse stress testing approach

DOI10.1007/978-3-030-78965-7_54MaRDI QIDQ7231800zbMATH OpenFDO

Authors Javier Ojea Ferreiro

Publication date 22 April 2026

Full work available at URL https://doi.org/10.1007/978-3-030-78965-7_54

zbMATH Keywords

conditional measuresexpected shortfallfinancial sectorsystemic risk

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

Cites work

• On the properties of the lambda value at risk: robustness, elicitability and consistency
• Risk measures on \(\mathcal{P}(\mathbb R)\) and value at risk with probability/loss function

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