Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?

DOI10.1137/23M1580413arXiv2306.10752OpenAlexW4390585269MaRDI QIDQ6184830

Marco Frittelli, Alessandro Doldi, Emanuela Rosazza Gianin

Publication date: 29 January 2024

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

Full work available at URL: https://arxiv.org/abs/2306.10752

zbMATH Keywords

sup-convolutionsystemic risk measuresshortfall risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Stochastic finance. An introduction in discrete time.
• Measuring risk with multiple eligible assets
• On fairness of systemic risk measures
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• Robustness and sensitivity analysis of risk measurement procedures
• Measures of Systemic Risk
• Multivariate Shortfall Risk Allocation and Systemic Risk
• Conditional Systemic Risk Measures
• Consistency of Sample Estimates of Risk Averse Stochastic Programs
• Convex Analysis
• A unified approach to systemic risk measures via acceptance sets
• Multivariate systemic risk measures and computation by deep learning algorithms

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