8 citations · 53 across the 24 of their papers we have counts for
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q-fin.CP2024
Computing Systemic Risk Measures with Graph Neural Networks
Lukas Gonon, Thilo Meyer-Brandis, Niklas Weber
This paper investigates systemic risk measures for stochastic financial networks of explicitly modelled bilateral liabilities. We extend the notion of systemic risk measures from B…
math.PR2024★ 3 cited
Mean-Field SDEs driven by -Brownian Motion
Karl-Wilhelm Georg Bollweg, Thilo Meyer-Brandis
We extend the notion of mean-field SDEs to SDEs driven by -Brownian motion. More precisely, we consider a -SDE where the coefficients depend not only on time and the current…