Systemic risk measures on general measurable spaces

DOI10.1007/s00186-016-0545-1zbMath1371.91200OpenAlexW3124158055MaRDI QIDQ343813

K. Zilch, Eduard Kromer, Ludger Overbeck

Publication date: 29 November 2016

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-016-0545-1

zbMATH Keywords

decompositionaggregation functiondual representationlocally convex-solid Riesz spacesrisk attributionsystemic risk measure

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Actuarial science and mathematical finance (91G99)

Related Items

Risk-consistent conditional systemic risk measures ⋮ An integrated model for fire sales and default contagion ⋮ Dual representations for systemic risk measures based on acceptance sets ⋮ Systemic optimal risk transfer equilibrium ⋮ Risk in a Large Claims Insurance Market with Bipartite Graph Structure ⋮ Strongly consistent multivariate conditional risk measures ⋮ Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ Haezendonck-Goovaerts capital allocation rules ⋮ Conditional risk measures in a bipartite market structure ⋮ Multivariate systemic risk measures and computation by deep learning algorithms ⋮ Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments ⋮ Multivariate stress scenario selection in interbank networks ⋮ Optimal network compression ⋮ Measures of Systemic Risk ⋮ Multivariate Shortfall Risk Allocation and Systemic Risk ⋮ Short Communication: Robust Market-Adjusted Systemic Risk Measures ⋮ A unified approach to systemic risk measures via acceptance sets ⋮ Dynamic systemic risk measures for bounded discrete time processes ⋮ Elicitability and identifiability of set-valued measures of systemic risk ⋮ Capital allocation rules and acceptance sets ⋮ Addressing systemic risk using contingent convertible debt -- a network analysis ⋮ Capital allocation à la Aumann-Shapley for non-differentiable risk measures ⋮ Dual representations for systemic risk measures ⋮ Obligations with Physical Delivery in a Multilayered Financial Network ⋮ Financial Asset Bubbles in Banking Networks ⋮ Time consistency for scalar multivariate risk measures ⋮ Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities ⋮ Conditional Systemic Risk Measures ⋮ Systemic risk statistics with scenario analysis ⋮ Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation ⋮ Suffocating Fire Sales

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Network models and financial stability
• To split or not to split: Capital allocation with convex risk measures
• On convex risk measures on \(L^{p}\)-spaces
• Positive operators, Riesz spaces, and economics. Proceedings of a conference, held at Caltech, Pasadena, California, USA, April 16-20, 1990
• Financial contagion and asset liquidation strategies
• Coherent Measures of Risk
• RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS
• Systemic Risk in Financial Systems
• Risk Assessment for Banking Systems
• Contagion in financial networks
• Measures of Systemic Risk
• Network topology of the interbank market
• Multivariate Shortfall Risk Allocation and Systemic Risk
• On a theorem of Danskin with an application to a theorem of Von Neumann-Sion
• Handbook on Systemic Risk
• Optimization of Convex Risk Functions
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Economic Capital Allocation Derived from Risk Measures
• A unified approach to systemic risk measures via acceptance sets
• Stochastic finance. An introduction in discrete time