Dual representations for systemic risk measures

Abstract The financial crisis showed the importance of measuring, allocating and regulating systemic risk. Recently, the systemic risk measures that can be decomposed into an aggregation function and a scalar measure of risk, received a lot of attention. In this framework, capital allocations are ad...
Ausführliche Beschreibung

Gespeichert in:
Autor*in:

Ararat, Çağın [verfasserIn]

Rudloff, Birgit

Format:

E-Artikel

Sprache:

Englisch

Erschienen:

2019

Schlagwörter:

Systemic risk

Risk measure

Financial network

Dual representation

Convex duality

Penalty function

Relative entropy

Multivariate risk

Shortfall risk

Anmerkung:

© Springer-Verlag GmbH Germany, part of Springer Nature 2019

Übergeordnetes Werk:

Enthalten in: Mathematics and financial economics - Berlin : Springer, 2007, 14(2019), 1 vom: 05. Nov., Seite 139-174

Übergeordnetes Werk:

volume:14 ; year:2019 ; number:1 ; day:05 ; month:11 ; pages:139-174

Links:

Volltext

DOI / URN:

10.1007/s11579-019-00249-7

Katalog-ID:

SPR020842546

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