Contagion-based distortion risk measures

DOI10.1016/J.AML.2013.07.007MaRDI QIDQ2345103zbMATH OpenOpenAlexFDO

Authors Umberto Cherubini, Sabrina Mulinacci

Publication date 19 May 2015

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2013.07.007

zbMATH Keywords

contagioncopula functionssystemic riskdistortion measure

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Recommendations

• Distortion risk measures for sums of dependent losses
• Risk measures and dependencies of risks
• Extremes for a general contagion risk measure
• Distortion Risk Measures and Economic Capital
• Systemic risk: conditional distortion risk measures

Cites work

• scientific article; zbMATH DE number 1795125 (Why is no real title available?)
• An introduction to copulas.
• Coherent measures of risk
• Componentwise concave copulas and their asymmetry
• Copulas Constructed from Horizontal Sections
• One-parameter families of distortion risk measures
• \textit{Within} and \textit{between} systemic country risk. Theory and evidence from the sovereign crisis in Europe

Cited in

(9)

• On quantile based co-risk measures and their estimation
• Distortion risk measures for sums of dependent losses
• Risk measures, distortion parameters, and their empirical estimation
• Risk measures and dependencies of risks
• Mitigating contagion risk by investing in the safety of rivals
• Marshall–Olkin Machinery and Power Mixing: The Mixed Generalized Marshall–Olkin Distribution
• Estimating redenomination risk under Gumbel-Hougaard survival copulas
• Extremes for a general contagion risk measure
• A Dynamic Contagion Risk Model with Recovery Features

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