12 citations · 32 across the 31 of their papers we have counts for
3 papers · 1 filter
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…
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…
Risk Aversion in the Small and in the Large under Rank-Dependent Utility
Louis R. Eeckhoudt, Roger J. A. Laeven
Under expected utility the local index of absolute risk aversion has played a central role in many applications. Besides, its link with the "global" concepts of the risk and probab…