相关论文: Dynamic risk measures for fluctuations in market v…

Systemic risk measures are crucial for the stability of financial markets, yet classical formulations fail to capture the complexity of market volatility. We propose a new framework for systemic risk measurement on the variable-exponent…

Since the quasiconvex risk measures is a bigger class than the well known convex risk measures, the study of quasiconvex risk measures makes sense especially in the financial markets with volatility. In this paper, we will study the…

We present a general framework for measuring the liquidity risk. The theoretical framework defines a class of risk measures that incorporate the liquidity risk into the standard risk measures. We consider a one-period risk measurement…

Monitoring means to observe a system for any changes which may occur over time, using a monitor or measuring device of some sort. In this paper we formulate a problem of monitoring dates of maximal risk of a financial position. Thus, the…

We study dynamic risk measures in a very general framework enabling to model uncertainty and processes with jumps. We previously showed the existence of a canonical equivalence class of probability measures hidden behind a given set of…

Risk measures, or coherent measures of risk are often considered on the space L^\infty, and important theorems on risk measures build on that space. Other risk measures, among them the most important risk measure---the Average…

The new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a finite probability space and the other in a diffusion…

In this note we consider a system of financial institutions and study systemic risk measures in the presence of a financial market and in a robust setting, namely, where no reference probability is assigned. We obtain a dual representation…

We characterize when a convex risk measure associated to a law-invariant acceptance set in $L^\infty$ can be extended to $L^p$, $1\leq p<\infty$, preserving finiteness and continuity. This problem is strongly connected to the statistical…

We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…

The financial markets are understood as complex dynamical systems whose dynamics is analysed mostly using nonstationary and brief data sets that usually come from stock markets. For such data sets, a reliable method of analysis is based on…

Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behavior or dynamic programming. Here, we propose an approach to define and…

The risk of extreme environmental events is of great importance for both the authorities and the insurance industry. This paper concerns risk measures in a spatial setting, in order to introduce the spatial features of damages stemming from…

An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a…

We axiomatically introduce risk-consistent conditional systemic risk measures defined on multidimensional risks. This class consists of those conditional systemic risk measures which can be decomposed into a state-wise conditional…

We introduce Banach spaces of vector-valued random variables motivated from mathematical finance. So-called risk functionals are defined in a natural way on these Banach spaces and it is shown that these functionals are Lipschitz…

Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…

Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures are defined as the optimal values of specific set…

This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation results as well as several examples are discussed. Principal…

We develop a general theory of risk measures that determines the optimal amount of capital to raise and invest in a portfolio of reference traded securities in order to meet a pre-specified regulatory requirement. The distinguishing feature…