Multivariate systemic risk measures and computation by deep learning algorithms

DOI10.1080/14697688.2023.2231505zbMath1530.91592arXiv2302.10183MaRDI QIDQ6063320

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

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

primal and dual problemssystemic risk measuresmultivariate utility functionsdeep learning algorithms

Mathematics Subject Classification ID

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

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