Systemic risk and copula models

Georg Ch. Pflug () and Alois Pichler
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Georg Ch. Pflug: Universität Wien
Alois Pichler: Technische Universität Chemnitz

Central European Journal of Operations Research, 2018, vol. 26, issue 2, No 11, 465-483

Abstract: Abstract Systemic risk describes the phenomenon that dependency adds a specific component of risk to a system or network of (financial) institutions as a whole, which would not be present if the institutions were independent from each other. This paper introduces the concept of systemic risk measures. We describe and study its behavior as a function of the copula, which represents the loss variables of the institutions in the network. Further, we define stochastic order relations on copulas and relate them with systemic risk measures.

Keywords: Risk measures; Convex order relations; Stochastic dominance; Copula; 90C15; 60B05; 62P05 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s10100-018-0525-z

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