"Multivariate Shortfall Risk Allocation and Systemic Risk."

Yannick Armenti et al. (2018)

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DOI: 10.1137/16M1087357

access: closed

type: Journal Article

metadata version: 2018-05-23

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Yannick Armenti, Stéphane Crépey, Samuel Drapeau, Antonis Papapantoleon:
Multivariate Shortfall Risk Allocation and Systemic Risk. SIAM J. Financial Math. 9(1): 90-126 (2018)

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