142 citations · 658 across the 32 of their papers we have counts for
Showing 2015 · q-fin.RMShow all
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q-fin.RM2015
A Supermartingale Relation for Multivariate Risk Measures
Zachary Feinstein, Birgit Rudloff
The equivalence between multiportfolio time consistency of a dynamic multivariate risk measure and a supermartingale property is proven. Furthermore, the dual variables under which…
q-fin.RM2015★ 22 cited
A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
Zachary Feinstein, Birgit Rudloff
A method for calculating multi-portfolio time consistent multivariate risk measures in discrete time is presented. Market models for assets with transaction costs or illiquidit…
q-fin.RM2015★ 142 cited
Measures of Systemic Risk
Zachary Feinstein, Birgit Rudloff, Stefan Weber
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires…