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 …

Shortfall systemic (multivariate) risk measures defined through an-dimensional multivariate
utility function and random allocations can be represented as classical (1-dimensional) …

Agents who pursue optimal portfolio choice by optimizing a univariate objective (eg, an
expected utility) obtain optimal payoffs that are increasing with each other (situation of no …

We describe the axiomatic approach to real-valued Systemic Risk Measures, which is a
natural counterpart to the nowadays classical univariate theory initiated by Artzner et al. in …

This Thesis focuses on two main topics. Firstly, we introduce and analyze the novel concept
of Systemic Optimal Risk Transfer Equilibrium (SORTE), and we progressively generalize it …

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 introduce the concept of a Systemic Optimal Risk Transfer Equilibrium (SORTE) that
conjugates the classical Bühlmann's notion of an Equilibrium Risk Exchange with a Capital …