Dual representations for systemic risk measures

被引:19
作者
Ararat, Cagin [1 ]
Rudloff, Birgit [2 ]
机构
[1] Bilkent Univ, Dept Ind Engn, Ankara, Turkey
[2] Vienna Univ Econ & Business, Inst Stat & Math, Vienna, Austria
基金
美国国家科学基金会;
关键词
Systemic risk; Risk measure; Financial network; Dual representation; Convex duality; Penalty function; Relative entropy; Multivariate risk; Shortfall risk;
D O I
10.1007/s11579-019-00249-7
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
The financial crisis showed the importance of measuring, allocating and regulating systemic risk. Recently, the systemic risk measures that can be decomposed into an aggregation function and a scalar measure of risk, received a lot of attention. In this framework, capital allocations are added after aggregation and can represent bailout costs. More recently, a framework has been introduced, where institutions are supplied with capital allocations before aggregation. This yields an interpretation that is particularly useful for regulatory purposes. In each framework, the set of all feasible capital allocations leads to a multivariate risk measure. In this paper, we present dual representations for scalar systemic risk measures as well as for the corresponding multivariate risk measures concerning capital allocations. Our results cover both frameworks: aggregating after allocating and allocating after aggregation. As examples, we consider the aggregation mechanisms of the Eisenberg-Noe model as well as those of the resource allocation and network flow models.
引用
收藏
页码:139 / 174
页数:36
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