Robust market-adjusted systemic risk measures
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Yannick Armenti & Stéphane Crépey & Samuel Drapeau & Antonis Papapantoleon, 2018. "Multivariate Shortfall Risk Allocation and Systemic Risk," Working Papers hal-01764398, HAL.
- Francesca Biagini & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2020. "On fairness of systemic risk measures," Finance and Stochastics, Springer, vol. 24(2), pages 513-564, April.
- E. Kromer & L. Overbeck & K. Zilch, 2016. "Systemic risk measures on general measurable spaces," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 84(2), pages 323-357, October.
- Patrick Cheridito & Michael Kupper & Ludovic Tangpi, 2016. "Duality formulas for robust pricing and hedging in discrete time," Papers 1602.06177, arXiv.org, revised Sep 2017.
- Francesca Biagini & Jean‐Pierre Fouque & Marco Frittelli & Thilo Meyer‐Brandis, 2019. "A unified approach to systemic risk measures via acceptance sets," Mathematical Finance, Wiley Blackwell, vol. 29(1), pages 329-367, January.
- Chen Chen & Garud Iyengar & Ciamac C. Moallemi, 2013. "An Axiomatic Approach to Systemic Risk," Management Science, INFORMS, vol. 59(6), pages 1373-1388, June.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Alessandro Doldi & Marco Frittelli, 2021. "Real-Valued Systemic Risk Measures," Mathematics, MDPI, vol. 9(9), pages 1-24, April.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Alessandro Doldi & Marco Frittelli, 2020. "Conditional Systemic Risk Measures," Papers 2010.11515, arXiv.org, revised May 2021.
- Wang, Wei & Xu, Huifu & Ma, Tiejun, 2023. "Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation," European Journal of Operational Research, Elsevier, vol. 306(1), pages 322-347.
- Tobias Fissler & Jana Hlavinová & Birgit Rudloff, 2021. "Elicitability and identifiability of set-valued measures of systemic risk," Finance and Stochastics, Springer, vol. 25(1), pages 133-165, January.
- Maria Arduca & Pablo Koch-Medina & Cosimo Munari, 2019. "Dual representations for systemic risk measures based on acceptance sets," Papers 1906.10933, arXiv.org, revised Oct 2019.
- E. Kromer & L. Overbeck & K. Zilch, 2019. "Dynamic systemic risk measures for bounded discrete time processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 90(1), pages 77-108, August.
- Alessandro Doldi & Marco Frittelli, 2021. "Real-Valued Systemic Risk Measures," Mathematics, MDPI, vol. 9(9), pages 1-24, April.
- Cosimo Munari & Stefan Weber & Lutz Wilhelmy, 2023. "Capital requirements and claims recovery: A new perspective on solvency regulation," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 90(2), pages 329-380, June.
- Klages-Mundt, Ariah & Minca, Andreea, 2022. "Optimal intervention in economic networks using influence maximization methods," European Journal of Operational Research, Elsevier, vol. 300(3), pages 1136-1148.
- Gupta, Aparna & Wang, Runzu & Lu, Yueliang, 2021. "Addressing systemic risk using contingent convertible debt – A network analysis," European Journal of Operational Research, Elsevier, vol. 290(1), pages 263-277.
- Yichen Feng & Jean-Pierre Fouque & Ruimeng Hu & Tomoyuki Ichiba, 2022. "Systemic Risk Models for Disjoint and Overlapping Groups with Equilibrium Strategies," Papers 2202.00662, arXiv.org.
- Nils Detering & Thilo Meyer-Brandis & Konstantinos Panagiotou & Daniel Ritter, 2020. "Suffocating Fire Sales," Papers 2006.08110, arXiv.org, revised Nov 2021.
- Francesca Biagini & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2020. "On fairness of systemic risk measures," Finance and Stochastics, Springer, vol. 24(2), pages 513-564, April.
- Müller, Fernanda Maria & Santos, Samuel Solgon & Righi, Marcelo Brutti, 2023. "A description of the COVID-19 outbreak role in financial risk forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
- Alessandro Doldi & Marco Frittelli & Emanuela Rosazza Gianin, 2023. "Are Shortfall Systemic Risk Measures One Dimensional?," Papers 2306.10752, arXiv.org.
- Tobias Fissler & Yannick Hoga, 2021. "Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability," Papers 2104.10673, arXiv.org, revised Feb 2022.
- Ariah Klages-Mundt & Andreea Minca, 2021. "Optimal Intervention in Economic Networks using Influence Maximization Methods," Papers 2102.01800, arXiv.org, revised Mar 2023.
- Francesca Biagini & Alessandro Doldi & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2023. "Collective Arbitrage and the Value of Cooperation," Papers 2306.11599, arXiv.org, revised May 2024.
- Huiting Duan & Jinghu Yu & Linxiao Wei, 2024. "Measurement and Forecasting of Systemic Risk: A Vine Copula Grouped-CoES Approach," Mathematics, MDPI, vol. 12(8), pages 1-18, April.
- c{C}au{g}{i}n Ararat & Birgit Rudloff, 2016. "Dual representations for systemic risk measures," Papers 1607.03430, arXiv.org, revised Jul 2019.
- Francesca Biagini & Andrea Mazzon & Thilo Meyer-Brandis, 2018. "Financial asset bubbles in banking networks," Papers 1806.01728, arXiv.org.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2021-03-15 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2103.02920. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.