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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

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1 result for “MSRM”

Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithmsmath.OC

Paper uses stochastic algorithms to estimate systemic risk measures.

problem Estimating systemic risk measures in interconnected financial systems.

method Uses stochastic algorithms to estimate MSRM and proves consistency and asymptotic normality.

result Consistent and asymptotically normal estimators of MSRM are obtained.

systemic risk stochastic algorithms MSRM financial institutions consistency

2022-11-29abs ↗pdf ↗