Computation of systemic risk measures : a mixed-integer programming approach
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 | Systemrisiko | Systemic risk | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Risikomaß | Risk measure | Messung | Measurement | Ganzzahlige Optimierung | Integer programming | Financial engineering | Finanzkrise | Financial crisis | Risiko | Risk | Finanzmarkt | Financial market |
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