Logo Logo
Help
Contact
Switch Language to German

Hoffmann, Hannes; Meyer-Brandis, Thilo and Svindland, Gregor (2016): Risk-consistent conditional systemic risk measures. In: Stochastic Processes and their Applications, Vol. 126, No. 7: pp. 2014-2037

Full text not available from 'Open Access LMU'.

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

Actions (login required)

View Item View Item