Código QR (código de barras bidimensional)

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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Principais autores: Heyan Wang, Shuo Gong, Yijun Hu
Format: Artigo
Sprog:Inglês
Udgivet: MDPI AG 2024-05-01
Serier:Axioms
Fag:
systemic risk measures
decomposition
dual representation
strong comonotonic additivity
Online adgang:https://www.mdpi.com/2075-1680/13/6/347
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