Risk-Consistent Conditional Systemic Risk Measures
Risk Management
2016-09-27 v1
Abstract
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.
Cite
@article{arxiv.1609.07897,
title = {Risk-Consistent Conditional Systemic Risk Measures},
author = {Hannes Hoffmann and Thilo Meyer-Brandis and Gregor Svindland},
journal= {arXiv preprint arXiv:1609.07897},
year = {2016}
}