Estimation of systemic shortfall risk measure using stochastic algorithms

DOI10.1137/22M1539344MaRDI QIDQ6606846zbMATH OpenFDO

Authors Sarah Kaakaï, Anis Matoussi, Achraf Tamtalini

Publication date 17 September 2024

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

Full work available at URL https://doi.org/10.1137/22M1539344

zbMATH Keywords

multivariate risk measuresrisk allocationsshortfall riskstochastic algorithmsstochastic root finding

Mathematics Subject Classification ID

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

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Cited in

(3)

• Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
• Multivariate systemic risk measures and computation by deep learning algorithms
• Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?

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