Strong Comonotonic Additive Systemic Risk Measures
In this paper, we propose a new class of systemic risk measures, which we refer to as strong comonotonic additive systemic risk measures. First, we introduce the notion of strong comonotonic additive systemic risk measures by proposing new axioms. Second, we establish a structural decomposition for...
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| Hlavní autoři: | , , |
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| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
MDPI AG
2024-05-01
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| Edice: | Axioms |
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| On-line přístup: | https://www.mdpi.com/2075-1680/13/6/347 |
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