no code implementations • 24 Nov 2023 • Jana Hlavinova, Birgit Rudloff, Alexander Smirnow
We apply our methodology to a modified Eisenberg-Noe network of banks and discuss the appeal of this approach from a regulatory perspective, as it does not elevate the financial system with external capital.
no code implementations • 22 Dec 2020 • Gabriela Kováčová, Birgit Rudloff, Igor Cialenco
Using robust representations of CAIs in terms of a family of dynamic coherent risk measures (DCRMs), we establish an intriguing dichotomy: if the corresponding family of DCRMs is recursive (i. e. strongly time consistent) and assuming some recursive structure of the market model, then the acceptability maximization problem reduces to just a one period problem and the maximal acceptability is constant across all states and times.
no code implementations • 11 Oct 2018 • Zachary Feinstein, Birgit Rudloff
We are motivated to study time consistency of multivariate scalar risk measures as the superhedging risk measure in markets with transaction costs (with a single eligible asset) (Jouini and Kallal (1995), Roux and Zastawniak (2016), Loehne and Rudloff (2014)) does not satisfy the usual scalar concept of time consistency.
no code implementations • 27 Jul 2018 • Zachary Feinstein, Birgit Rudloff
First, some results are provided on the dual representation of such risk measures, with particular emphasis given on the space of dual variables as (equivalent) martingale measures and prices consistent with the market model.
