In this work, we propose deep learning-based algorithms for the computation of systemic
shortfall risk measures defined via multivariate utility functions. We discuss the key related …

We consider the problem of optimally sharing a financial position among agents with
potentially different reference risk measures. The problem is equivalent to computing the …

In this paper, we propose a new class of systemic risk measures, which we refer to as strong
comonotonic additive systemic risk measures. First, we introduce the notion of strong …

In this paper, we consider dynamic risk measures induced by backward stochastic
differential equations (BSDEs). We discuss different examples that come up in the literature …

In this work we propose deep learning-based algorithms for the computation of systemic
shortfall risk measures defined via multivariate utility functions. We discuss the key related …

Stochastic analysis, stochastic processes and machine learning of dynamical systems have
depicted strong connection in many aspects. This thesis aims to study such relationship from …

We analyze the systemic risk for disjoint and overlapping groups of financial institutions by
proposing new models with realistic game features. Specifically, we generalize the systemic …

In the first part of this thesis, we study linear-quadratic stochastic differential games on
directed chains inspired by the directed chain stochastic differential equations introduced by …