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Dual representations for systemic risk measures
16 references·1 citing·35 second hop
Dual representations for systemic risk measures (2019)Dual representations for systemic risk me…Measuring and Allocating Systemic Risk (2019)Measuring and Allocating Syst…Multivariate Shortfall Risk Allocation and Systemic Risk (2018)Multivariate Shortfall Risk A…A unified approach to systemic risk measures via acceptance sets (2018)A unified approach to systemi…Measures of Systemic Risk (2017)Measures of Systemic RiskSystemic risk measures on general measurable spaces (2016)Systemic risk measures on gen…An Axiomatic Approach to Systemic Risk (2013)An Axiomatic Approach to Syst…Failure and Rescue in an Interbank Network (2012)Failure and Rescue in an Inte…Stochastic Finance (2011)Stochastic FinanceDuality for Set-Valued Measures of Risk (2010)Duality for Set-Valued Measur…Liquidity Risk and Contagion (2005)Liquidity Risk and ContagionLiquidity Risk and Contagion (2005)Liquidity Risk and ContagionStochastic finance. an introduction in discrete time (2004)Stochastic finance. an introd…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Convex measures of risk and trading constraints (2002)Convex measures of risk and t…Systemic Risk in Financial Systems (2001)Systemic Risk in Financial Sy…Coherent Measures of Risk (1999)Coherent Measures of RiskSET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES (2017)SET-VALUED SHORTFALL AND DIVE…Bank Runs, Deposit Insurance, and Liquidity (1983)Financial Contagion (2000)Financial Networks and Contagion (2012)How likely is contagion in financial networks? (2014)Contagion in Financial Networks (2016)An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory of rational option pricing (2005)Lectures on Stochastic Programming (2009)Convex Duality in Constrained Portfolio Optimization (1992)Theory and Applications of Robust Optimization (2011)Distributionally Robust Convex Optimization (2014)Value at Risk (2001)Where the Risks Lie: A Survey on Systemic Risk (2015)Artificial intelligence and fintech: An overview of opportunities and risks for banking, investments, and microfinance (2021)Mathematical Methods and Theory in Games, Programming, and Economics. (1960)Foundations for Financial Economics. (1989)Interbank Lending and Systemic Risk (1996)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Systemic Risk and Stability in Financial Networks (2015)A Climate Stress-Test of the Financial System (2016)Liquidity Shortages and Banking Crises (2002)Contagion in financial networks (2010)Generalized deviations in risk analysis (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Modeling and optimization of risk (2010)Conditional value-at-risk in portfolio optimization: Coherent but fragile (2011)Too many to fail—An analysis of time-inconsistency in bank closure policies (2006)Network models and financial stability (2007)Simulation methods to assess the danger of contagion in interbank markets (2010)OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011)COHERENCE AND ELICITABILITY (2014)Risk management with expectiles (2015)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2001Systemic Risk in Financial Systems1,364 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,215 cited
  • 2005Liquidity Risk and Contagion930 cited
  • 2005Liquidity Risk and Contagion879 cited
  • 2011Stochastic Finance424 cited
  • 2012Failure and Rescue in an Interbank Network410 cited
  • 2004Stochastic finance. an introduction in discrete time392 cited
  • 2013An Axiomatic Approach to Systemic Risk186 cited
  • 2010Duality for Set-Valued Measures of Risk157 cited
  • 2017Measures of Systemic Risk139 cited
  • 2018A unified approach to systemic risk measures via acceptance sets100 cited
  • 2016Systemic risk measures on general measurable spaces67 cited
  • 2018Multivariate Shortfall Risk Allocation and Systemic Risk63 cited
  • 2019Measuring and Allocating Systemic Risk61 cited

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SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES
26 cited