Multivariate Shortfall Risk Allocation and Systemic Risk

DOI10.1137/16M1087357zbMath1408.91236arXiv1507.05351MaRDI QIDQ4635243

Antonis Papapantoleon, Stéphane Crépey, Samuel Drapeau, Yannick Armenti

Publication date: 16 April 2018

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

Full work available at URL: https://arxiv.org/abs/1507.05351

zbMATH Keywords

CCPnumerical methodssystemic risksensitivitiesrisk allocationdefault fundmultivariate shortfall risk

Mathematics Subject Classification ID

Related Items (31)

Preference robust models in multivariate utility-based shortfall risk minimization ⋮ An integrated model for fire sales and default contagion ⋮ Dual representations for systemic risk measures based on acceptance sets ⋮ Systemic optimal risk transfer equilibrium ⋮ Systemic risk measures on general measurable spaces ⋮ Multivariate shortfall risk statistics with scenario analysis ⋮ XVA metrics for CCP optimization ⋮ Multivariate systemic risk measures and computation by deep learning algorithms ⋮ Systemic risk models for disjoint and overlapping groups with equilibrium strategies ⋮ Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity ⋮ Short Communication: Are Shortfall Systemic Risk Measures One Dimensional? ⋮ Measures of Systemic Risk ⋮ Magic Points in Finance: Empirical Integration for Parametric Option Pricing ⋮ Capital allocation with multivariate convex risk measures ⋮ A supermartingale relation for multivariate risk measures ⋮ A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK ⋮ Short Communication: Robust Market-Adjusted Systemic Risk Measures ⋮ Dynamic systemic risk measures for bounded discrete time processes ⋮ Multi-utility representations of incomplete preferences induced by set-valued risk measures ⋮ Elicitability and identifiability of set-valued measures of systemic risk ⋮ Dual representations for systemic risk measures ⋮ Obligations with Physical Delivery in a Multilayered Financial Network ⋮ On fairness of systemic risk measures ⋮ Time consistency for scalar multivariate risk measures ⋮ Relative bound and asymptotic comparison of expectile with respect to expected shortfall ⋮ Conditional Systemic Risk Measures ⋮ Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation ⋮ Insurance premium-based shortfall risk measure induced by cumulative prospect theory ⋮ Central Clearing Valuation Adjustment ⋮ Optimal intervention in economic networks using influence maximization methods ⋮ Suffocating Fire Sales

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