Quotation Ararat, Çagin, Rudloff, Birgit. 2020. Dual representations for systemic risk measures. Mathematics and Financial Economics. 14 (1), 139-174.


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Abstract

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.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Mathematics and Financial Economics
Citation Index SCI
WU-Journal-Rating new FIN-A
Language English
Title Dual representations for systemic risk measures
Volume 14
Number 1
Year 2020
Page from 139
Page to 174
Reviewed? Y
URL https://link.springer.com/article/10.1007/s11579-019-00249-7
DOI https://doi.org/10.1007/s11579-019-00249-7
Open Access N

Associations

Projects
Dynamic measures of systemic risk
People
Rudloff, Birgit (Details)
External
Ararat, Çagin (Bilkent University, Turkey)
Organization
Institute for Statistics and Mathematics IN (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
1118 Probability theory (Details)
1137 Financial mathematics (Details)
5361 Financial management (Details)
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