Estimation of systemic shortfall risk measure using stochastic algorithms

DOI10.1137/22M1539344MaRDI QIDQ6606846zbMATH OpenFDO

Authors Sarah Kaakaï, Anis Matoussi, Achraf Tamtalini

Publication date 17 September 2024

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

zbMATH Keywords

multivariate risk measuresstochastic algorithmsshortfall riskstochastic root findingrisk allocations

Mathematics Subject Classification ID

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

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Cited in

(2)

• Multivariate systemic risk measures and computation by deep learning algorithms
• Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?

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