Data di Pubblicazione:
2019
Citazione:
A unified approach to systemic risk measures via acceptance sets / F. Biagini, J. Fouque, M. Frittelli, T. Meyer-Brandis. - In: MATHEMATICAL FINANCE. - ISSN 0960-1627. - 29:1(2019), pp. 329-367. [10.1111/mafi.12170]
Abstract:
We specify a general methodological framework for systemic risk measures via multi-dimensional acceptance sets and aggregation functions. Existing systemic risk measures can usually be interpreted as the minimal amount of cash needed to secure the system after aggregating individual risks. In contrast, our approach also includes systemic risk measures that can be interpreted as the minimal amount of cash that secures the aggregated system by allocating capital to the single institutions before aggregating the individual risks.
An important feature of our approach is the possibility of allocating cash according to the future
state of the system (scenario-dependent allocation). We illustrate with several examples the advantages of this feature.
We also provide conditions which ensure monotonicity, convexity, or quasi-convexity of our systemic risk measures.
Tipologia IRIS:
01 - Articolo su periodico
Keywords:
systemic risk; risk measures; acceptance set; aggregation
Elenco autori:
F. Biagini, J. Fouque, M. Frittelli, T. Meyer-Brandis
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