9 citations · 14 across the 16 of their papers we have counts for
16 papers
Risk Measures under Paired-Ambiguity: A Deep Learning Reflected BSDE Framework
Nacira Agram, Jan Rems, Emanuela Rosazza Gianin
We study optimal stopping under dynamic risk measures with simultaneous ambiguity in the probability model and the discount rate. We introduce a paired ambiguity framework combinin…
Financial Resilience Evaluation: From Conditional Expectations to Dynamic Convex Risk Measures
Matteo Ferrari, Roger J. A. Laeven, Emanuela Rosazza Gianin +1
Financial resilience concerns the rate at which a position recovers, or further deteriorates, in response to adverse conditions. As a first step, Laeven, Ferrari, Rosazza Gianin, a…
Robust quasi-convex risk measures and applications
Francesca Centrone, Asmerilda Hitaj, Elisa Mastrogiacomo +1
This paper develops a unified framework for the robustification of risk measures beyond the classical convex and cash-additive setting. We consider general risk measures on Lp spac…
Capturing cash non-additivity and horizon risk via BSDEs and generalized shortfall
Giulia Di Nunno, Emanuela Rosazza Gianin
Whenever dealing with horizons of different times scales, risk evaluation of losses may incur in both interest rate uncertainty and horizon risk as introduced in [11]. With the goa…
Measuring Financial Resilience Using Backward Stochastic Differential Equations
Roger J. A. Laeven, Matteo Ferrari, Emanuela Rosazza Gianin +1
We introduce the resilience rate as a measure of financial resilience. It captures the expected rate at which a dynamic risk measure recovers, i.e., bounces back, when the risk-acc…
SIG-BSDE for Dynamic Risk Measures
Nacira Agram, Jan Rems, Emanuela Rosazza Gianin
In this paper, we consider dynamic risk measures induced by backward stochastic differential equations (BSDEs). We discuss different examples that come up in the literature, includ…
Geometric BSDEs
Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
We introduce Geometric Backward Stochastic Differential Equations (GBSDEs) and two-driver BSDEs, which arise naturally in the geometric dynamics of dynamic return risk measures and…
Cash non-additive risk measures: horizon risk and generalized entropy
Giulia Di Nunno, Emanuela Rosazza Gianin
Horizon risk (see arXiv:2301.04971) is studied in the context of cash non-additive fully-dynamic risk measures induced by BSDEs. Furthermore, we introduce a risk measure based on g…
Dynamic Return and Star-Shaped Risk Measures via BSDEs
Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
This paper establishes characterization results for dynamic return and star-shaped risk measures induced via backward stochastic differential equations (BSDEs). We first characteri…
Are Shortfall Systemic Risk Measures One Dimensional?
Alessandro Doldi, Marco Frittelli, Emanuela Rosazza Gianin
Shortfall systemic (multivariate) risk measures defined through an -dimensional multivariate utility function and random allocations can be represented as classical (one…
Capital allocation for cash-subadditive risk measures: from BSDEs to BSVIEs
Emanuela Rosazza Gianin, Marco Zullino
In the context of risk measures, the capital allocation problem is widely studied in the literature where different approaches have been developed, also in connection with cooperat…
Fully-dynamic risk measures: horizon risk, time-consistency, and relations with BSDEs and BSVIEs
Giulia Di Nunno, Emanuela Rosazza Gianin
In a dynamic framework, we identify a new concept associated with the risk of assessing the financial exposure by a measure that is not adequate to the actual time horizon of the p…
Quasi-Logconvex Measures of Risk
Roger J. A. Laeven, Emanuela Rosazza Gianin
This paper introduces and fully characterizes the novel class of quasi-logconvex measures of risk, to stand on equal footing with the rich class of quasi-convex measures of risk. Q…
Risk measures and progressive enlargement of filtration: a BSDE approach
Alessandro Calvia, Emanuela Rosazza Gianin
We consider dynamic risk measures induced by Backward Stochastic Differential Equations (BSDEs) in enlargement of filtration setting. On a fixed probability space, we are given a s…
Time-consistency of cash-subadditive risk measures
Elisa Mastrogiacomo, Emanuela Rosazza Gianin
The main goal of this paper is to investigate under which conditions cash-subadditive convex dynamic risk measures are time-consistent. Proceeding as in Detlefsen and Scandolo \cit…
Dual Representation of Minimal Supersolutions of Convex BSDEs
Samuel Drapeau, Michael Kupper, Emanuela Rosazza Gianin +1
We give a dual representation of minimal supersolutions of BSDEs with non-bounded, but integrable terminal conditions and under weak requirements on the generator which is allowed…