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q-fin.RM2023
Set-valued intrinsic measures of systemic risk
Jana Hlavinova, Birgit Rudloff, Alexander Smirnow
In recent years, it has become apparent that an isolated microprudential approach to capital adequacy requirements of individual institutions is insufficient. It can increase the h…
q-fin.RM2018
Scalar multivariate risk measures with a single eligible asset
Zachary Feinstein, Birgit Rudloff
In this paper we present results on scalar risk measures in markets with transaction costs. Such risk measures are defined as the minimal capital requirements in the cash asset. Fi…