Dynamic systemic risk measures for bounded discrete time processes
From MaRDI portal
Publication:2274151
DOI10.1007/s00186-018-0655-zzbMath1426.91307OpenAlexW3121334086WikidataQ128310483 ScholiaQ128310483MaRDI QIDQ2274151
Ludger Overbeck, K. Zilch, Eduard Kromer
Publication date: 19 September 2019
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-018-0655-z
aggregation functiontime-consistencyconditional systemic risk measureconditional dual representationdynamic systemic risk measure
Related Items
Scalar Multivariate Risk Measures with a Single Eligible Asset, Time consistency for scalar multivariate risk measures, Conditional Systemic Risk Measures
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Risk-consistent conditional systemic risk measures
- Systemic risk measures on general measurable spaces
- Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
- Dynamic monetary risk measures for bounded discrete-time processes
- Convex measures of risk and trading constraints
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Coherent multiperiod risk adjusted values and Bellman's principle
- Dynamic coherent risk measures
- Coherent Measures of Risk
- COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
- Measures of Systemic Risk
- A supermartingale relation for multivariate risk measures
- Multivariate Shortfall Risk Allocation and Systemic Risk
- Dynamic Risk Measures
- A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time
- A unified approach to systemic risk measures via acceptance sets
- Stochastic finance. An introduction in discrete time
