Mean Field BSDEs and Global Dynamic Risk Measures

28 Pages Posted: 7 Sep 2019

See all articles by Rui Chen

Rui Chen

Inria

Roxana Dumitrescu

King's College London

Andreea Minca

Cornell University

Agnes Sulem

French National Institute for Research in Computer Science and Control (INRIA)

Date Written: September 1, 2019

Abstract

We study Mean-field BSDEs with jumps and a generalized mean-field operator that can capture higher order interactions such as those occurring on an inhomogeneous random graph. We provide comparison and strict comparison results. Based on these, we interpret the BSDE solution as a global dynamic risk measure that can account for the intensity of system interactions and therefore incorporate systemic risk. Using Fenchel-Legendre transforms, we establish a dual representation for the risk measure, and in particular we exhibit its dependence on the mean-field operator.

Keywords: Systemic risk measures, BSDEs

Suggested Citation

Chen, Rui and Dumitrescu, Roxana and Minca, Andreea and Sulem, Agnes, Mean Field BSDEs and Global Dynamic Risk Measures (September 1, 2019). Available at SSRN: https://ssrn.com/abstract=3446360 or http://dx.doi.org/10.2139/ssrn.3446360

Rui Chen

Inria ( email )

Domaine de Voluceau
Rocquencourt
Chesnay, 78153
France

Roxana Dumitrescu

King's College London ( email )

Strand
London, England WC2R 2LS
United Kingdom

Andreea Minca (Contact Author)

Cornell University ( email )

222 Rhodes Hall
Ithaca, NY NY 14853
United States

HOME PAGE: http://people.orie.cornell.edu/acm299/

Agnes Sulem

French National Institute for Research in Computer Science and Control (INRIA) ( email )

40 avenue Halley
Villeneuve, 59650
France

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