On fairness of systemic risk measures

HIGHLIGHTS

• who: Francesca Biagini from the performed while FBiagini, M. Frittelli and T. Meyer-Brandis were visiting the University Germany have published the research: On fairness of systemic risk measures, in the Journal: (JOURNAL)
• what: F. Biagini et_al - the authors show in Sect 4 existence and uniqueness of the systemic optimal allocation YX for the systemic risk measure (1.5). In Sect 5, the authors further elaborate on this interpretation, the authors study in detail the properties of the systemic risk probability vector QX, and the authors provide in particular for the marginal risk contribution the . . .
  

   

  

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