Biagini, Francesca; Fouque, Jean-Pierre; Frittelli, Marco; … - In: Finance and Stochastics 24 (2020) 2, pp. 513-564
In our previous paper “A unified approach to systemic risk measures via acceptance sets” (Mathematical Finance, 2018), we have introduced a general class of systemic risk measures that allow random allocations to individual banks before aggregation of their risks. In the present paper, we...