8 citations · 53 across the 24 of their papers we have counts for
5 papers · 1 filter
Liquidity induced asset bubbles via flows of ELMMs
Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis
We consider a constructive model for asset price bubbles, where the market price is endogenously determined by the trading activity on the market and the fundamental price $W^F…
Managing Default Contagion in Inhomogeneous Financial Networks
Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou +1
The aim of this paper is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the verti…
The Fatou Closedness under Model Uncertainty
Marco Maggis, Thilo Meyer-Brandis, Gregor Svindland
We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of -quasisure bounded random variables, where $\mathcal{…
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…
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…