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A unified approach to systemic risk measures via acceptance sets

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Cited by:

  1. c{C}au{g}{i}n Ararat & Zachary Feinstein, 2019. "Set-Valued Risk Measures as Backward Stochastic Difference Inclusions and Equations," Papers 1912.06916, arXiv.org, revised Sep 2020.
  2. Dhaene, Jan & Laeven, Roger J.A. & Zhang, Yiying, 2022. "Systemic risk: Conditional distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 126-145.
  3. Wing Fung Chong & Runhuan Feng & Longhao Jin, 2023. "Holistic principle for risk aggregation and capital allocation," Annals of Operations Research, Springer, vol. 330(1), pages 21-54, November.
  4. Tobias Fissler & Yannick Hoga, 2021. "Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability," Papers 2104.10673, arXiv.org, revised Feb 2022.
  5. Alessandro Doldi & Marco Frittelli & Emanuela Rosazza Gianin, 2023. "Are Shortfall Systemic Risk Measures One Dimensional?," Papers 2306.10752, arXiv.org.
  6. 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.
  7. 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.
  8. Tomaso Aste, 2020. "Stress testing and systemic risk measures using multivariate conditional probability," Papers 2004.06420, arXiv.org, revised May 2021.
  9. Gabriele Canna & Francesca Centrone & Emanuela Rosazza Gianin, 2021. "Capital Allocation Rules and the No-Undercut Property," Mathematics, MDPI, vol. 9(2), pages 1-13, January.
  10. c{C}au{g}{i}n Ararat & Mucahit Aygun, 2021. "Dual representations of quasiconvex compositions with applications to systemic risk," Papers 2108.12910, arXiv.org.
  11. 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.
  12. Giuseppe Calafiore & Giulia Fracastoro & Anton V. Proskurnikov, 2022. "Control of Dynamic Financial Networks (The Extended Version)," Papers 2205.08879, arXiv.org.
  13. 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.
  14. 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.
  15. Francesca Biagini & Alessandro Doldi & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2019. "Systemic Optimal Risk Transfer Equilibrium," Papers 1907.04257, arXiv.org, revised Jun 2020.
  16. Alessandro Doldi & Marco Frittelli, 2024. "Multivariate systemic optimal risk transfer equilibrium," Annals of Operations Research, Springer, vol. 336(1), pages 435-480, May.
  17. Lorella Fatone & Francesca Mariani, 2019. "Systemic risk governance in a dynamical model of a banking system," Journal of Global Optimization, Springer, vol. 75(3), pages 851-883, November.
  18. 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.
  19. Alessandro Doldi & Marco Frittelli, 2019. "Multivariate Systemic Optimal Risk Transfer Equilibrium," Papers 1912.12226, arXiv.org, revised Oct 2021.
  20. 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.
  21. Alessandro Doldi & Marco Frittelli, 2021. "Real-Valued Systemic Risk Measures," Mathematics, MDPI, vol. 9(9), pages 1-24, April.
  22. Tobias Fissler & Jana Hlavinov'a & Birgit Rudloff, 2019. "Elicitability and Identifiability of Systemic Risk Measures," Papers 1907.01306, arXiv.org, revised Oct 2019.
  23. Matteo Burzoni & Marco Frittelli & Federico Zorzi, 2021. "Robust market-adjusted systemic risk measures," Papers 2103.02920, arXiv.org, revised Aug 2021.
  24. Kerstin Awiszus & Agostino Capponi & Stefan Weber, 2020. "Market Efficient Portfolios in a Systemic Economy," Papers 2003.10121, arXiv.org, revised May 2021.
  25. Çağın Ararat & Zachary Feinstein, 2021. "Set-valued risk measures as backward stochastic difference inclusions and equations," Finance and Stochastics, Springer, vol. 25(1), pages 43-76, January.
  26. Alessandro Doldi & Marco Frittelli, 2020. "Conditional Systemic Risk Measures," Papers 2010.11515, arXiv.org, revised May 2021.
  27. 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.
  28. Aray Almen & Darinka Dentcheva, 2024. "On Risk Evaluation and Control of Distributed Multi-agent Systems," Journal of Optimization Theory and Applications, Springer, vol. 203(2), pages 2025-2054, November.
  29. Millossovich, Pietro & Tsanakas, Andreas & Wang, Ruodu, 2024. "A theory of multivariate stress testing," European Journal of Operational Research, Elsevier, vol. 318(3), pages 851-866.
  30. Kerstin Awiszus & Thomas Knispel & Irina Penner & Gregor Svindland & Alexander Vo{ss} & Stefan Weber, 2022. "Modeling and Pricing Cyber Insurance -- Idiosyncratic, Systematic, and Systemic Risks," Papers 2209.07415, arXiv.org, revised Dec 2022.
  31. Li, Jinzhu, 2022. "Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 38-56.
  32. Ariah Klages-Mundt & Andreea Minca, 2021. "Optimal Intervention in Economic Networks using Influence Maximization Methods," Papers 2102.01800, arXiv.org, revised Mar 2023.
  33. 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).
  34. 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.
  35. Tomaso Aste, 2021. "Stress Testing and Systemic Risk Measures Using Elliptical Conditional Multivariate Probabilities," JRFM, MDPI, vol. 14(5), pages 1-17, May.
  36. 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.
  37. Shushi, Tomer & Yao, Jing, 2020. "Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 178-186.
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