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q-fin.RM2024
On Vulnerability Conditional Risk Measures: Comparisons and Applications in Cryptocurrency Market
Tong Pu, Yunran Wei, Yiying Zhang
We introduce a novel class of systemic risk measures, the Vulnerability Conditional risk measures, which try to capture the "tail risk" of a risky position in scenarios where one o…
q-fin.RM2024★ 2 cited
Risk sharing with Lambda value at risk under heterogeneous beliefs
Peng Liu, Andreas Tsanakas, Yunran Wei
In this paper, we study the risk sharing problem among multiple agents using Lambda Value-at-Risk as their preference functional, under heterogeneous beliefs, where beliefs are rep…