42 citations · 108 across the 17 of their papers we have counts for
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q-fin.RM2015
Multivariate Shortfall Risk Allocation and Systemic Risk
Yannick Armenti, Stephane Crepey, Samuel Drapeau +1
The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financia…
math.PR2015
Stability and Markov Property of Forward Backward Minimal Supersolutions
Samuel Drapeau, Christoph Mainberger
We show stability and locality of the minimal supersolution of a forward backward stochastic differential equation with respect to the underlying forward process under weak assumpt…