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ArticleDual representations for systemic risk measures

Çağın Ararat2019

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Articlegreen2019

Dual representations for systemic risk measures

Çağın Ararat · Birgit Rudloff

28 citations·0/0 files stored·Mathematics and Financial Economics

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Risk and Portfolio Optimization Banking stability, regulation, efficiency Financial Risk and Volatility Modeling

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References

1999Coherent Measures of Risk 2002Convex measures of risk and trading constraints 2001Systemic Risk in Financial Systems 2002Stochastic Finance: An Introduction in Discrete Time 2005Liquidity Risk and Contagion 2005Liquidity Risk and Contagion 2011Stochastic Finance 2012Failure and Rescue in an Interbank Network

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2017SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES

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Year2019

Typearticle

Published2019-11-05

VenueMathematics and Financial Economics

ISSN-L1862-9660

Languageen

Citations28

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s11579-019-00249-7

openalex_workW2479618307

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