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Dual representations for systemic risk measures based on acceptance sets


Arduca, Maria; Koch-Medina, Pablo; Munari, Cosimo (2020). Dual representations for systemic risk measures based on acceptance sets. Mathematics and Financial Economics:Epub ahead of print.

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.

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.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Scopus Subject Areas:Physical Sciences > Statistics and Probability
Social Sciences & Humanities > Finance
Social Sciences & Humanities > Statistics, Probability and Uncertainty
Language:English
Date:2020
Deposited On:14 Apr 2020 07:27
Last Modified:29 Jul 2020 15:00
Publisher:Springer
ISSN:1862-9679
OA Status:Closed
Publisher DOI:https://doi.org/10.1007/s11579-019-00250-0
Other Identification Number:merlin-id:18836

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