Risk-consistent conditional systemic risk measures

DOI10.1016/J.SPA.2016.01.002MaRDI QIDQ271876zbMATHOpenAlexFDO

Authors Hannes Hoffmann, Thilo Meyer-Brandis, Gregor Svindland

Publication date 20 April 2016

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1609.07897

zbMATH Keywords

conditional aggregationconditional expected short fallconditional systemic risk measureconditional value at riskrisk-consistent properties

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Abstract: We axiomatically introduce risk-consistent conditional systemic risk measures defined on multidimensional risks. This class consists of those conditional systemic risk measures which can be decomposed into a state-wise conditional aggregation and a univariate conditional risk measure. Our studies extend known results for unconditional risk measures on finite state spaces. We argue in favor of a conditional framework on general probability spaces for assessing systemic risk. Mathematically, the problem reduces to selecting a realization of a random field with suitable properties. Moreover, our approach covers many prominent examples of systemic risk measures from the literature and used in practice.

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Cites work

• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
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Cited in

(29)

• An analytical approach for systematic risk sensitivity of structured finance products
• Spatial risk measures: local specification and boundary risk
• Granularity adjustment for risk measures: systematic vs unsystematic risks
• A characterization of the vector lattice of measurable functions
• An integrated model for fire sales and default contagion
• A unified approach to systemic risk measures via acceptance sets
• Multivariate stress scenario selection in interbank networks
• Short communication: Robust market-adjusted systemic risk measures
• Financial asset bubbles in banking networks
• Dynamic systemic risk measures for bounded discrete time processes
• Systemic risk measures
• Dual representations for systemic risk measures
• Risk in a large claims insurance market with bipartite graph structure
• Closed form solutions of measures of systemic risk
• Measures of systemic risk
• Elicitability and identifiability of set-valued measures of systemic risk
• Conditional excess risk measures and multivariate regular variation
• Strongly consistent multivariate conditional risk measures
• Suffocating Fire Sales
• Systemic risk: conditional distortion risk measures
• Systemic risk measures on general measurable spaces
• Collective dynamic risk measures
• Systemic risk statistics with scenario analysis
• Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
• Spatial risk measures and their local specification: the locally law-invariant case
• Conditional risk measures in a bipartite market structure
• Efficient allocations under law-invariance: a unifying approach
• Conditional systemic risk measures
• Foreword

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