Estimation of systemic shortfall risk measure using stochastic algorithms

DOI10.1137/22M1539344zbMATH Open1544.91349MaRDI QIDQ6606846FDOQ6606846

Authors: Sarah Kaakaï, Anis Matoussi, Achraf Tamtalini 

Publication date: 17 September 2024

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

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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)

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

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