Now showing items 1-3 of 3

    • Dual representations for systemic risk measures 

      Ararat, Çağın; Rudloff, B. (Springer, 2020)
      The financial crisis showed the importance of measuring, allocating and regulating systemic risk. Recently, the systemic risk measures that can be decomposed into an aggregation function and a scalar measure of risk, ...
    • Dual representations of quasiconvex compositions with applications to systemic risk 

      Aygün, Mücahit (Bilkent University, 2021-07)
      The importance of measuring risk in an interconnected financial system has been appreciated recently, due in part to the global financial crisis. In the literature, systemic risk measures are generally represented by the ...
    • Gain-loss pricing under ambiguity of measure 

      Pınar, M. Ç. (E D P Sciences, 2010)
      Motivated by the observation that the gain-loss criterion, while offering economically meaningful prices of contingent claims, is sensitive to the reference measure governing the underlying stock price process (a situation ...