Estimation of systemic shortfall risk measure using stochastic algorithms
type: Item
instance of: scholarly article
title: Estimation of systemic shortfall risk measure using stochastic algorithms
zbMATH Open document ID: 1544.91349
author: Sarah Kaakaï
author: Anis Matoussi
author: Achraf Tamtalini
published in: SIAM Journal on Financial Mathematics
publication date: 2024-09-17T00:00:00Z
Mathematics Subject Classification ID: 91G45
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 7914760
zbMATH Keywords: multivariate risk measures
zbMATH Keywords: shortfall risk
zbMATH Keywords: stochastic algorithms
zbMATH Keywords: stochastic root finding
zbMATH Keywords: risk allocations
MaRDI profile type: MaRDI publication profile
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DOI: 10.1137/22M1539344
description: scientific article; zbMATH DE number 7914760