A unified approach to systemic risk measures via acceptance sets

Biagini, Francesca ; Fouque, Jean-Pierre; Frittelli, Marco and Meyer-Brandis, Thilo (2019): A unified approach to systemic risk measures via acceptance sets. In: Mathematical Finance, Vol. 29, No. 1: pp. 329-367

Abstract

We specify a general methodological framework for systemic risk measures via multidimensional 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 also provide conditions that ensure monotonicity, convexity, or quasi-convexity of our systemic risk measures.

• Item Type: Journal article
• Faculties: Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics
• Subjects: 500 Science > 510 Mathematics
• ISSN: 0960-1627
• Language: English