Now showing items 1-2 of 2

    • 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, ...
    • Set-valued shortfall and divergence risk measures 

      Ararat, C.; Hamel, A. H.; Rudloff, B. (World Scientific Publishing, 2017)
      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 ...