Strongly consistent multivariate conditional risk measures

DOI10.1007/S11579-017-0210-3MaRDI QIDQ1648900zbMATH OpenOpenAlexFDO

Authors Hannes Hoffmann, Thilo Meyer-Brandis, Gregor Svindland

Publication date 5 July 2018

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1609.07903

zbMATH Keywords

conditional certainty equivalentslaw-invariancemultivariate risk measuresstrong consistencysystemic risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Abstract: We consider families of strongly consistent multivariate conditional risk measures. We show that under strong consistency these families admit a decomposition into a conditional aggregation function and a univariate conditional risk measure as introduced Hoffmann et al. (2016). Further, in analogy to the univariate case in F"ollmer (2014), we prove that under law-invariance strong consistency implies that multivariate conditional risk measures are necessarily multivariate conditional certainty equivalents.

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Cited in

(8)

• Time consistency for scalar multivariate risk measures
• Consistent risk measures and a non-linear extension of backwards martingale convergence
• Conditional systemic risk measures
• Scalar multivariate risk measures with a single eligible asset
• A unified approach to systemic risk measures via acceptance sets
• Systemic risk statistics with scenario analysis
• Collective dynamic risk measures
• Decision-making frameworks for network resilience: managing and mitigating systemic (cyber) risk

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