Dual representations for systemic risk measures based on acceptance sets
Mathematical Finance
2019-10-25 v2 Risk Management
Abstract
We establish dual representations for systemic risk measures based on acceptance sets in a general setting. We deal with systemic risk measures of both "first allocate, then aggregate" and "first aggregate, then allocate" type. In both cases, we provide a detailed analysis of the corresponding systemic acceptance sets and their support functions. The same approach delivers a simple and self-contained proof of the dual representation of utility-based risk measures for univariate positions.
Cite
@article{arxiv.1906.10933,
title = {Dual representations for systemic risk measures based on acceptance sets},
author = {Maria Arduca and Pablo Koch-Medina and Cosimo Munari},
journal= {arXiv preprint arXiv:1906.10933},
year = {2019}
}
Comments
27 pages, no figures