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q-fin.MF2022
Deep Learning for Systemic Risk Measures
Yichen Feng, Ming Min, Jean-Pierre Fouque
The aim of this paper is to study a new methodological framework for systemic risk measures by applying deep learning method as a tool to compute the optimal strategy of capital al…
q-fin.MF2022
Systemic Risk Models for Disjoint and Overlapping Groups with Equilibrium Strategies
Yichen Feng, Jean-Pierre Fouque, Ruimeng Hu +1
We analyze the systemic risk for disjoint and overlapping groups (e.g., central clearing counterparties (CCP)) by proposing new models with realistic game features. Specifically, w…