Financial risk measures for a network of individual agents holding portfolios of light-tailed objects

Claudia Klüppelberg () and Miriam Isabel Seifert ()
Additional contact information
Claudia Klüppelberg: Technical University of Munich
Miriam Isabel Seifert: Ruhr University Bochum

Finance and Stochastics, 2019, vol. 23, issue 4, No 1, 795-826

Abstract: Abstract We investigate a financial network of agents holding portfolios of independent light-tailed risky objects whose losses are asymptotically exponentially distributed with distinct tail parameters. We show that the asymptotic distributions of portfolio losses belong to the class of functional exponential mixtures which we introduce in this paper. We also provide results for value-at-risk and expected shortfall risk measures, as well as for their conditional counterparts. Compared to heavy-tail settings, we establish important qualitative differences in the asymptotic behaviour of portfolio risks under a light-tail assumption which have to be accounted for in practical risk management.

Keywords: Asymptotic exponential distribution; Expected shortfall; Financial network; Risk management; Value-at-risk; 60G70; 62E20; 90B10; 91B30 (search for similar items in EconPapers)
JEL-codes: C10 C46 G11 G22 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://link.springer.com/10.1007/s00780-019-00401-7 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:finsto:v:23:y:2019:i:4:d:10.1007_s00780-019-00401-7

Ordering information: This journal article can be ordered from
http://www.springer. ... ance/journal/780/PS2

DOI: 10.1007/s00780-019-00401-7

Access Statistics for this article

Finance and Stochastics is currently edited by M. Schweizer

More articles in Finance and Stochastics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().