简短交流：亏空系统性风险衡量标准是一维的吗？

IF 1.4 4区经济学 Q3 BUSINESS, FINANCE

SIAM Journal on Financial Mathematics Pub Date : 2024-01-04 DOI:10.1137/23m1580413

Alessandro Doldi, Marco Frittelli, Emanuela Rosazza Gianin

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引用次数: 0

摘要

SIAM 金融数学期刊》，第 15 卷第 1 期，第 SC1-SC14 页，2024 年 3 月。摘要。通过[math]维多变量效用函数[math]和随机分配定义的短缺系统（多变量）风险度量[math]可以表示为与由[math]构造的明确确定的一维函数相关联的经典（一维）短缺风险度量。这一发现简化了对[math]若干性质的研究，如对偶表示、定律不变性和稳定性。

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Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?

SIAM Journal on Financial Mathematics, Volume 15, Issue 1, Page SC1-SC14, March 2024.
Abstract. Shortfall systemic (multivariate) risk measures [math] defined through an [math]-dimensional multivariate utility function [math] and random allocations can be represented as classical (1-dimensional) shortfall risk measures associated to an explicitly determined 1-dimensional function constructed from [math]. This finding allows for simplifying the study of several properties of [math], such as dual representations, law invariance, and stability.

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来源期刊

SIAM Journal on Financial Mathematics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-

CiteScore

2.30

自引率

10.00%

发文量

期刊介绍： SIAM Journal on Financial Mathematics (SIFIN) addresses theoretical developments in financial mathematics as well as breakthroughs in the computational challenges they encompass. The journal provides a common platform for scholars interested in the mathematical theory of finance as well as practitioners interested in rigorous treatments of the scientific computational issues related to implementation. On the theoretical side, the journal publishes articles with demonstrable mathematical developments motivated by models of modern finance. On the computational side, it publishes articles introducing new methods and algorithms representing significant (as opposed to incremental) improvements on the existing state of affairs of modern numerical implementations of applied financial mathematics.