Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?

DOI10.1137/23M1580413MaRDI QIDQ6184830zbMATH OpenOpenAlexFDO

Authors Alessandro Doldi, Marco Frittelli, Emanuela Rosazza Gianin

Publication date 29 January 2024

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2306.10752

zbMATH Keywords

shortfall risk measuressup-convolutionsystemic risk measures

Mathematics Subject Classification ID

Financial networks (including contagion, systemic risk, regulation) (91G45) Statistical methods; risk measures (91G70)

Abstract: Shortfall systemic (multivariate) risk measures $ho$ defined through an $N$-dimensional multivariate utility function $U$ and random allocations can be represented as classical (one dimensional) shortfall risk measures associated to an explicitly determined $1$-dimensional function constructed from $U$. This finding allows for simplifying the study of several properties of $ho$, such as dual representations, law invariance and stability.

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Cites work

• A unified approach to systemic risk measures via acceptance sets
• Conditional systemic risk measures
• Consistency of sample estimates of risk averse stochastic programs
• Convex Analysis
• Measures of systemic risk
• Measuring risk with multiple eligible assets
• Multivariate Shortfall Risk Allocation and Systemic Risk
• Multivariate systemic risk measures and computation by deep learning algorithms
• On fairness of systemic risk measures
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• Robustness and sensitivity analysis of risk measurement procedures
• Stochastic finance. An introduction in discrete time.

Cited in

(3)

• Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
• Estimation of systemic shortfall risk measure using stochastic algorithms
• Collective dynamic risk measures

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