Risk-consistent conditional systemic risk measures

Hannes Hoffmann, Thilo Meyer-Brandis and Gregor Svindland

Stochastic Processes and their Applications, 2016, vol. 126, issue 7, 2014-2037

Abstract: We axiomatically introduce risk-consistent conditional systemic risk measures defined on multidimensional risks. This class consists of those conditional systemic risk measures which can be decomposed into a state-wise conditional aggregation and a univariate conditional risk measure. Our studies extend known results for unconditional risk measures on finite state spaces. We argue in favor of a conditional framework on general probability spaces for assessing systemic risk. Mathematically, the problem reduces to selecting a realization of a random field with suitable properties. Moreover, our approach covers many prominent examples of systemic risk measures from the literature and used in practice.

Keywords: Conditional systemic risk measure; Conditional aggregation; Risk-consistent properties; Conditional value at risk; Conditional expected short fall (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:126:y:2016:i:7:p:2014-2037

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DOI: 10.1016/j.spa.2016.01.002

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