Systemic risk refers to the risk that the financial system is susceptible to failures due to the
characteristics of the system itself. The tremendous cost of systemic risk requires the design …

This paper introduces a formulation of the optimal network compression problem for
financial systems. This general formulation is presented for different levels of network …

In this paper, we present formulas for the valuation of debt and equity of firms in a financial
network under comonotonic endowments. We demonstrate that the comonotonic setting …

We investigate to which extent the relevant features of (static) Systemic Risk Measures can
be extended to a conditional setting. After providing a general dual representation result, we …

In this work, we propose deep learning-based algorithms for the computation of systemic
shortfall risk measures defined via multivariate utility functions. We discuss the key related …

We establish dual representations for systemic risk measures based on acceptance sets in a
general setting. We deal with systemic risk measures of both “first allocate, then aggregate” …

Risk measures for multivariate financial positions are studied in a utility-based framework.
Under a certain incomplete preference relation, shortfall and divergence risk measures are …

In this paper we present results on dynamic multivariate scalar risk measures, which arise in
markets with transaction costs and systemic risk. Dual representations of such risk measures …

In this paper, we establish an analytic framework for studying set-valued backward
stochastic differential equations (set-valued BSDE), motivated largely by the current studies …

A new operator for handling the joint risk of different sources has been presented and its
various properties are investigated. The problem of risk evaluation of multivariate risk …