1 problem

0 votes0 replies1 view
The cooperative-game-theoretic decomposition conjecture for scenario-dependent aggregation functions
Let $\bar\Lambda^{SD}$ denote the scenario-dependent aggregation function associated with scenario-dependent systemic risk measures. Consider decompositions of $\bar\Lambda^{SD}$ i…
Conjectureopencapital-requirements cooperative-game-theory systemic-riskarXiv posted 2 days ago

The cooperative-game-theoretic decomposition conjecture for scenario-dependent aggregation functions