Risk-consistent conditional systemic risk measures

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:126

Article

Hoffmann, Hannes¹  Meyer-Brandis, Thilo¹  Svindland, Gregor¹ 

[1] Univ Munich, Dept Math, Theresienstr 39, D-80333 Munich, Germany

关键词: Conditional systemic risk measure;    Conditional aggregation;    Risk-consistent properties;    Conditional value at risk;    Conditional expected short fall;   

DOI  :  10.1016/j.spa.2016.01.002

来源: Elsevier

【 摘 要 】

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. (C) 2016 Elsevier B.V. All rights reserved.

【 授权许可】

Free