Computation of Systemic Risk Measures: A Mixed-Integer Programming Approach (Q6196751)
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scientific article; zbMATH DE number 7819182
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| English | Computation of Systemic Risk Measures: A Mixed-Integer Programming Approach |
scientific article; zbMATH DE number 7819182 |
Statements
Computation of Systemic Risk Measures: A Mixed-Integer Programming Approach (English)
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15 March 2024
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systemic risk measure
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set-valued risk measure
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Eisenberg-Noe model
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Rogers-Veraart model
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mixed integer programming
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vector optimization
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0.8086522221565247
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0.8074961304664612
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0.7804575562477112
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0.7771154642105103
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0.761502206325531
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