Dual representations for systemic risk measures
Year of publication: |
2020
|
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Authors: | Ararat, Çağın ; Rudloff, Birgit |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 14.2020, 1, p. 139-174
|
Subject: | Systemic risk | Risk measure | Financial network | Dual representation | Convex duality | Penalty function | Relative entropy | Multivariate risk | Shortfall risk | Theorie | Theory | Finanzdienstleistung | Financial services | Messung | Measurement | Systemrisiko | Risiko | Risk | Risikomaß | Finanzkrise | Financial crisis | Entropie | Entropy | Bankrisiko | Bank risk | Portfolio-Management | Portfolio selection |
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