# Multivariate Shortfall Risk Allocation and Systemic Risk

- Published: 11 Apr 2018 Journal: SIAM Journal on Financial Mathematics, volume 9, pages 90-126 (eissn: 1945-497X, Copyright policy)
- Publisher: Society for Industrial & Applied Mathematics (SIAM)
- Country: France

- Technische Universität Berlin, Universitätsbibliothek Germany
- Inserm France
- Shanghai Jiao Tong University China (People's Republic of)

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[1] V. Acharya, T. P. L. Pedersen, and M. Richardson. Measuring systemic risk. SSRN 1573171, 2010.

[2] V. Acharya, R. Engle, and M. Richardson. Capital shortfall: A new approach to ranking and regulating systemic risks. American Economic Review: Papers & Proceedings, 102(3):59-64, 2012.

[3] T. Adrian and M. Brunnermeier. CoVaR. National Bureau of Economic Research Working Paper, 1745, 2011.

[4] P. Artzner, F. Delbaen, J. M. Eber, and D. Heath. Coherent measures of risk. Mathematical Finance, 9:203-228, 1999. [OpenAIRE]

[5] C. Bayer, H. Hoel, E. von Schwerin, and R. Tempone. On nonasymptotic optimal stopping criteria in Monte Carlo simulations. SIAM Journal on Scientific Computing, 36:A869-A885, 2014.

[6] A. Ben-Tal and M. Teboulle. An old-new concept of convex risk measures: the optimized certainty equivalent. Mathematical Finance, 17(3):449-476, 2007.

[7] F. Biagini, J.-P. Fouque, M. Frittelli, and T. Meyer-Brandis. A unified approach to systemic risk measures via acceptance sets. arXiv:1503.06354, 2015.

[8] C. Brownlees and R. Engle. Volatility, correlation and tails for systemic risk measurement. SSRN 1611229, 2012. [OpenAIRE]

[9] M. K. Brunnemeier and P. Cheridito. Measuring and allocating systemic risk. SSRN 2372472, 2014.

[10] I. Cascos and I. Molchanov. Multivariate risk measures: a constructive approach based on selections. Mathematical Finance, 2014. Forthcoming.

[11] P. Cheridito and T. Li. Risk measures on Orlicz hearts. Mathematical Finance, 19(2):189-214, 2009. [OpenAIRE]

[12] R. Cont, E. Santos, and A. Moussa. Network structure and systemic risk in banking systems. In J.-P. Fouque and J. Langsam, editors, Handbook of Systemic Risk. Cambridge University Press, 2013. [OpenAIRE]

[13] S. Drapeau and M. Kupper. Risk preferences and their robust representation. Mathematics of Operations Research, 28(1):28-62, 2013.

[14] S. Drapeau, M. Kupper, and A. Papapantoleon. A Fourier approach to the computation of CV@R and optimized certainty equivalents. Journal of Risk, 16(6):3-29, 2014.

[15] E. Eberlein, K. Glau, and A. Papapantoleon. Analysis of Fourier transform valuation formulas and applications. Applied Mathematical Finance, 17:211-240, 2010. [OpenAIRE]

- 1
- 2

###### Related research

- Technische Universität Berlin, Universitätsbibliothek Germany
- Inserm France
- Shanghai Jiao Tong University China (People's Republic of)

- 1
- 2

[1] V. Acharya, T. P. L. Pedersen, and M. Richardson. Measuring systemic risk. SSRN 1573171, 2010.

[2] V. Acharya, R. Engle, and M. Richardson. Capital shortfall: A new approach to ranking and regulating systemic risks. American Economic Review: Papers & Proceedings, 102(3):59-64, 2012.

[3] T. Adrian and M. Brunnermeier. CoVaR. National Bureau of Economic Research Working Paper, 1745, 2011.

[4] P. Artzner, F. Delbaen, J. M. Eber, and D. Heath. Coherent measures of risk. Mathematical Finance, 9:203-228, 1999. [OpenAIRE]

[5] C. Bayer, H. Hoel, E. von Schwerin, and R. Tempone. On nonasymptotic optimal stopping criteria in Monte Carlo simulations. SIAM Journal on Scientific Computing, 36:A869-A885, 2014.

[6] A. Ben-Tal and M. Teboulle. An old-new concept of convex risk measures: the optimized certainty equivalent. Mathematical Finance, 17(3):449-476, 2007.

[7] F. Biagini, J.-P. Fouque, M. Frittelli, and T. Meyer-Brandis. A unified approach to systemic risk measures via acceptance sets. arXiv:1503.06354, 2015.

[8] C. Brownlees and R. Engle. Volatility, correlation and tails for systemic risk measurement. SSRN 1611229, 2012. [OpenAIRE]

[9] M. K. Brunnemeier and P. Cheridito. Measuring and allocating systemic risk. SSRN 2372472, 2014.

[10] I. Cascos and I. Molchanov. Multivariate risk measures: a constructive approach based on selections. Mathematical Finance, 2014. Forthcoming.

[11] P. Cheridito and T. Li. Risk measures on Orlicz hearts. Mathematical Finance, 19(2):189-214, 2009. [OpenAIRE]

[12] R. Cont, E. Santos, and A. Moussa. Network structure and systemic risk in banking systems. In J.-P. Fouque and J. Langsam, editors, Handbook of Systemic Risk. Cambridge University Press, 2013. [OpenAIRE]

[13] S. Drapeau and M. Kupper. Risk preferences and their robust representation. Mathematics of Operations Research, 28(1):28-62, 2013.

[14] S. Drapeau, M. Kupper, and A. Papapantoleon. A Fourier approach to the computation of CV@R and optimized certainty equivalents. Journal of Risk, 16(6):3-29, 2014.

[15] E. Eberlein, K. Glau, and A. Papapantoleon. Analysis of Fourier transform valuation formulas and applications. Applied Mathematical Finance, 17:211-240, 2010. [OpenAIRE]

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