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q-fin.RM2025
Static marginal expected shortfall: Systemic risk measurement under dependence uncertainty
Jinghui Chen, Edward Furman, X. Sheldon Lin
Measuring the contribution of a bank or an insurance company to overall systemic risk is a key concern, particularly in the aftermath of the 2007--2009 financial crisis and the 202…
q-fin.RM2024
Risk Aggregation and Allocation in the Presence of Systematic Risk via Stable Laws
Andrew Fleck, Edward Furman, Yang Shen
In order to properly manage risk, practitioners must understand the aggregate risks they are exposed to. Additionally, to properly price policies and calculate bonuses the relative…
q-fin.RM2016★ 1 cited
Multiple risk factor dependence structures: Distributional properties
Jianxi Su, Edward Furman
We introduce a class of dependence structures, that we call the Multiple Risk Factor (MRF) dependence structures. On the one hand, the new constructions extend the popular CreditRi…