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Collective Arbitrage and the Value of Cooperation
We introduce the notions of Collective Arbitrage and of Collective Super-replication in a setting where agents are investing in their markets and are allowed to cooperate through exchanges.
Are Shortfall Systemic Risk Measures One Dimensional?
Shortfall systemic (multivariate) risk measures $\rho$ defined through an $N$-dimensional multivariate utility function $U$ and random allocations can be represented as classical (one dimensional) shortfall risk measures associated to an explicitly determined $1$-dimensional function constructed from $U$.
Multivariate Systemic Risk Measures and Computation by Deep Learning Algorithms
In this work we propose deep learning-based algorithms for the computation of systemic shortfall risk measures defined via multivariate utility functions.
Robust market-adjusted systemic risk measures
In this note we consider a system of financial institutions and study systemic risk measures in the presence of a financial market and in a robust setting, namely, where no reference probability is assigned.
Conditional Systemic Risk Measures
We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended to a conditional setting.
Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality
The objective of this paper is to develop a duality between a novel Entropy Martingale Optimal Transport problem (A) and an associated optimization problem (B).
Multivariate Systemic Optimal Risk Transfer Equilibrium
We prove existence, uniqueness, and the Nash Equilibrium property of the newly defined Multivariate Systemic Optimal Risk Transfer Equilibrium.
