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q-fin.MF2026
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…
q-fin.MF2026
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…
q-fin.MF2026
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…