Multivariate systemic risk measures and computation by deep learning algorithms

DOI10.1080/14697688.2023.2231505MaRDI QIDQ6063320zbMATH OpenFDO

Authors Alessandro Doldi, Yichen Feng, Jean-Pierre Fouque, Marco Frittelli

Publication date 7 November 2023

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2302.10183

zbMATH Keywords

deep learning algorithmsmultivariate utility functionsprimal and dual problemssystemic risk measures

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Financial networks (including contagion, systemic risk, regulation) (91G45) Statistical methods; risk measures (91G70)

Abstract: In this work we propose deep learning-based algorithms for the computation of systemic shortfall risk measures defined via multivariate utility functions. We discuss the key related theoretical aspects, with a particular focus on the fairness properties of primal optima and associated risk allocations. The algorithms we provide allow for learning primal optimizers, optima for the dual representation and corresponding fair risk allocations. We test our algorithms by comparison to a benchmark model, based on a paired exponential utility function, for which we can provide explicit formulas. We also show evidence of convergence in a case for which explicit formulas are not available.

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Cites work

• A unified approach to systemic risk measures via acceptance sets
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• Measures of systemic risk
• Multi-portfolio time consistency for set-valued convex and coherent risk measures
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• On fairness of systemic risk measures
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Cited in

(5)

• Capturing deep tail risk via sequential learning of quantile dynamics
• Measuring systematic risk with neural network factor model
• Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?
• Estimation of systemic shortfall risk measure using stochastic algorithms
• Computing systemic risk measures with graph neural networks

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