Multivariate Shortfall Risk Allocation and Systemic Risk
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Publication:4635243
DOI10.1137/16M1087357zbMath1408.91236arXiv1507.05351MaRDI QIDQ4635243
Samuel Drapeau, Stéphane Crépey, Antonis Papapantoleon, 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
CCP; numerical methods; systemic risk; sensitivities; risk allocation; default fund; multivariate shortfall risk
62H10: Multivariate distribution of statistics
91G60: Numerical methods (including Monte Carlo methods)
91G70: Statistical methods; risk measures