{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/estimation-of-systemic-shortfall-risk-measure","title":"Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms","arxiv_id":"2211.16159","date":"2022-11-29","proceeding":null,"authors":["Sarah Kaakai","Anis Matoussi","Achraf Tamtalini"],"abstract":"Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. To this purpose, two approaches were suggested. In the first one, systemic risk measures can be interpreted as the minimal amount of cash needed to secure a system after aggregating individual risks. In the second approach, systemic risk measures can be interpreted as the minimal amount of cash that secures a system by allocating capital to each single institution before aggregating individual risks. Although the theory behind these risk measures has been well investigated by several authors, the numerical part has been neglected so far. In this paper, we use stochastic algorithms schemes in estimating MSRM and prove that the resulting estimators are consistent and asymptotically normal. We also test numerically the performance of these algorithms on several examples.","url_abs":"https://arxiv.org/abs/2211.16159v2","url_pdf":"https://arxiv.org/pdf/2211.16159v2.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"links_only","authors_date_abstract":"arXiv metadata, CC0 1.0 (https://info.arxiv.org/help/license), from the Kaggle arXiv metadata snapshot of 2026-09-12"},"code_links":[{"paper_slug":"estimation-of-systemic-shortfall-risk-measure","repo_url":"https://github.com/achraftamtalini/srm","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":1,"framework":"none","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":null,"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}