29 citations · 96 across the 15 of their papers we have counts for
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q-fin.RM2019★ 6 cited
Set-Valued Risk Measures as Backward Stochastic Difference Inclusions and Equations
Çağın Ararat, Zachary Feinstein
Scalar dynamic risk measures for univariate positions in continuous time are commonly represented as backward stochastic differential equations. In the multivariate setting, dynami…
q-fin.RM2016★ 29 cited
Dual representations for systemic risk measures
Çağın Ararat, Birgit Rudloff
The financial crisis showed the importance of measuring, allocating and regulating systemic risk. Recently, the systemic risk measures that can be decomposed into an aggregation fu…
q-fin.RM2014★ 26 cited
Set-valued shortfall and divergence risk measures
Çağın Ararat, Andreas H. Hamel, Birgit Rudloff
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures…