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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.MF2025
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…