2 papers
q-fin.MF2016
Strongly Consistent Multivariate Conditional Risk Measures
Hannes Hoffmann, Thilo Meyer-Brandis, Gregor Svindland
We consider families of strongly consistent multivariate conditional risk measures. We show that under strong consistency these families admit a decomposition into a conditional ag…
q-fin.RM2016
Risk-Consistent Conditional Systemic Risk Measures
Hannes Hoffmann, Thilo Meyer-Brandis, Gregor Svindland
We axiomatically introduce risk-consistent conditional systemic risk measures defined on multidimensional risks. This class consists of those conditional systemic risk measures whi…