9 citations · 14 across the 16 of their papers we have counts for
4 papers · 1 filter
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…