The paper provides a comprehensive overview of modeling and pricing cyber insurance and
includes clear and easily understandable explanations of the underlying mathematical …

The quantification of downside risk in terms of capital requirements is a key issue for both
regulators and the financial industry. This review presents the axiomatic approach, which is …

We address the problem of risk sharing among agents using a two-parameter class of
quantile-based risk measures, the so-called range-value-at-risk (RVaR), as their …

We develop a Bayesian methodology for systemic risk assessment in financial networks
such as the interbank market. Nodes represent participants in the network, and weighted …

We specify a general methodological framework for systemic risk measures via
multidimensional acceptance sets and aggregation functions. Existing systemic risk …

The paper presents a comprehensive model of a banking system that integrates network
effects, bankruptcy costs, fire sales, and cross-holdings. For the integrated financial market …

In this paper, we develop a framework for measuring, allocating and managing systemic risk.
SystRisk, our measure of total systemic risk, captures the a priori cost to society for providing …

This paper provides a framework for modeling the financial system with multiple illiquid
assets during a crisis. This work generalizes the paper by Amini et al.(2016) by allowing for …

This article discusses the role of volatility in the context of systemic risk in finance. The main
argument is that volatility transmits risks within the financial system and beyond, shaking the …

We quantify how much systemic risk can be eliminated in financial contract networks by
rearranging their network topology. By using mixed integer linear programming, financial …