Multivariate risk measures as quasiconvex compositions

Abstract

We consider multivariate risk measures that are defined as compositions of set-valued functions. Such class of risk measures is rich enough to cover many examples of systemic risk measures studied recently as well as... [ view full abstract ]

Authors

  1. Cagin Ararat (Bilkent University)

Topic Areas

Risk Measures , Systemic Risk

Session

TH-A-B1 » Risk Measures (11:30 - Thursday, 19th July, Beckett 1)

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