Publication: Dual representations for systemic risk measures based on acceptance sets
Dual representations for systemic risk measures based on acceptance sets
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Arduca, M., Koch-Medina, P., & Munari, C. (2021). Dual representations for systemic risk measures based on acceptance sets. Mathematics and Financial Economics, 15(1), 155–184. https://doi.org/10.1007/s11579-019-00250-0
Abstract
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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.
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- Arduca, Maria
- Munari, Cosimo
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Arduca, M., Koch-Medina, P., & Munari, C. (2021). Dual representations for systemic risk measures based on acceptance sets. Mathematics and Financial Economics, 15(1), 155–184. https://doi.org/10.1007/s11579-019-00250-0