Alessandro Doldi, Marco Frittelli, Emanuela Rosazza Gianin
{"title":"Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?","authors":"Alessandro Doldi, Marco Frittelli, Emanuela Rosazza Gianin","doi":"10.1137/23m1580413","DOIUrl":null,"url":null,"abstract":"SIAM Journal on Financial Mathematics, Volume 15, Issue 1, Page SC1-SC14, March 2024. <br/> Abstract. Shortfall systemic (multivariate) risk measures [math] defined through an [math]-dimensional multivariate utility function [math] and random allocations can be represented as classical (1-dimensional) shortfall risk measures associated to an explicitly determined 1-dimensional function constructed from [math]. This finding allows for simplifying the study of several properties of [math], such as dual representations, law invariance, and stability.","PeriodicalId":48880,"journal":{"name":"SIAM Journal on Financial Mathematics","volume":"100 1","pages":""},"PeriodicalIF":1.4000,"publicationDate":"2024-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"SIAM Journal on Financial Mathematics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1137/23m1580413","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
SIAM Journal on Financial Mathematics, Volume 15, Issue 1, Page SC1-SC14, March 2024. Abstract. Shortfall systemic (multivariate) risk measures [math] defined through an [math]-dimensional multivariate utility function [math] and random allocations can be represented as classical (1-dimensional) shortfall risk measures associated to an explicitly determined 1-dimensional function constructed from [math]. This finding allows for simplifying the study of several properties of [math], such as dual representations, law invariance, and stability.
期刊介绍：
SIAM Journal on Financial Mathematics (SIFIN) addresses theoretical developments in financial mathematics as well as breakthroughs in the computational challenges they encompass. The journal provides a common platform for scholars interested in the mathematical theory of finance as well as practitioners interested in rigorous treatments of the scientific computational issues related to implementation. On the theoretical side, the journal publishes articles with demonstrable mathematical developments motivated by models of modern finance. On the computational side, it publishes articles introducing new methods and algorithms representing significant (as opposed to incremental) improvements on the existing state of affairs of modern numerical implementations of applied financial mathematics.
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