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q-fin.RM2024
Systemic values-at-risk and their sample-average approximations
Wissam AlAli, Çağın Ararat
This paper investigates the convergence properties of sample-average approximations (SAA) for set-valued systemic risk measures. We assume that the systemic risk measure is defined…
q-fin.RM2024
On the Separability of Vector-Valued Risk Measures
Çağın Ararat, Zachary Feinstein
Risk measures for random vectors have been considered in multi-asset markets with transaction costs and financial networks in the literature. While the theory of set-valued risk me…