Computation of systemic risk measures : a mixed-integer programming approach
Çağın Ararat, Nurtai Meimanjan
| Year of publication: |
2023
|
|---|---|
| Authors: | Ararat, Çağın ; Meimanjan, Nurtai |
| Published in: |
Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 71.2023, 6, p. 2130-2145
|
| Subject: | Eisenberg–Noe model | Financial Engineering | mixed-integer programming | Rogers–Veraart model | set-valued risk measure | systemic risk measure | vector optimization | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Systemrisiko | Systemic risk | Finanzdienstleistung | Financial services | Messung | Measurement | Risikomaß | Risk measure |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2021.0040 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014445030