Dual representations for systemic risk measures (Q2299390)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Dual representations for systemic risk measures
scientific article

    Statements

    Dual representations for systemic risk measures (English)
    0 references
    0 references
    0 references
    21 February 2020
    0 references
    The article is a relatively comprehensive overview of the important topics -- representation and economic interpretations of some recently proposed measures of systemic risk from convex duality point of view. This paper provides dual representation results for the systemic risk measures \(R^{\mathrm{ins}}\) and \(R^{\mathrm{sen}}\) \[ R^{\mathrm{ins}}(X)=\left\{z\in R^d |\Lambda (X)+\sum_{i=1}^dz_i\in A\right\} \] \[ R^{\mathrm{sen}}(X)=\{z\in R^d |\Lambda (X+z)\in A\} \] as well as for their scalarizations \(\rho^{\mathrm{ins}}\) and \(\rho^{\mathrm{sen}}\) \[ \rho^{\mathrm{ins}}(X)=\rho (\Lambda (X))=\inf \{k\in R |\Lambda (X)+k\in A\} \] \[ \rho^{\mathrm{sen}}(X)=\inf\left\{\sum_{i=1}^d z_i |\Lambda (X+z)\in A\right\} \] in terms of three types of dual variables: probability measures for each of the financial institutions, weights for each of the financial institutions, and probability measures for society. The probability measures can be interpreted as possible models governing the dynamics of the institutions/society. The main results of the paper are collected in Theorem 3.2 followed by some comments on the economic interpretation of these results. The form of the dual representations under some canonical aggregation functions, including that of the Eisenberg-Noe model, are investigated in Section 4. A model uncertainty representation of the sensitive systemic risk measure is discussed in Section 5.
    0 references
    systemic risk
    0 references
    risk measure
    0 references
    financial network
    0 references
    dual representation
    0 references
    convex duality
    0 references
    penalty function
    0 references
    relative entropy
    0 references
    multivariate risk
    0 references
    shortfall risk
    0 references

    Identifiers