英文标题：
《Dual representations for systemic risk measures based on acceptance sets》
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作者：
Maria Arduca, Pablo Koch-Medina, Cosimo Munari
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最新提交年份：
2019
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英文摘要：
We establish dual representations for systemic risk measures based on acceptance sets in a general setting. We deal with systemic risk measures of both \"first allocate, then aggregate\" and \"first aggregate, then allocate\" type. In both cases, we provide a detailed analysis of the corresponding systemic acceptance sets and their support functions. The same approach delivers a simple and self-contained proof of the dual representation of utility-based risk measures for univariate positions.
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中文摘要：
我们在一般情况下基于接受集建立系统性风险度量的双重表示。我们处理“先分配，然后汇总”和“先汇总，然后分配”类型的系统性风险度量。在这两种情况下，我们都详细分析了相应的系统验收集及其支持功能。同样的方法为单变量头寸的基于效用的风险度量的双重表示提供了一个简单且自包含的证明。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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