Shortfall systemic (multivariate) risk measures \rho defined through an N-dimensional multivariate utility function U and random allocations can be represented as classical (1-dimensional) shortfall risk measures associated to an explicitly determined 1-dimensional function constructed from U. This finding allows for simplifying the study of several properties of \rho , such as dual representations, law invariance, and stability.
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional? / A. Doldi, M. Frittelli, E. Rosazza Gianin. - In: SIAM JOURNAL ON FINANCIAL MATHEMATICS. - ISSN 1945-497X. - 15:1(2024), pp. SC1-SC14. [10.1137/23M1580413]
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?
A. Doldi
Primo
;M. FrittelliSecondo
;
2024
Abstract
Shortfall systemic (multivariate) risk measures \rho defined through an N-dimensional multivariate utility function U and random allocations can be represented as classical (1-dimensional) shortfall risk measures associated to an explicitly determined 1-dimensional function constructed from U. This finding allows for simplifying the study of several properties of \rho , such as dual representations, law invariance, and stability.
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