ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE

Christian Gourieroux and Alain Monfort

International Journal of Theoretical and Applied Finance (IJTAF), 2013, vol. 16, issue 07, 1-20

Abstract: The paper proposes an axiomatic approach for allocating aggregate risk among individual entities. It is shown that a risk allocation system should obey two axioms. The allocations satisfying these axioms are called coherent risk contributions and are characterized. In the paper, the contribution of each entity is decomposed into a systemic part, an unsystemic part and, possibly, a cross effect. Consequences in terms of regulation are discussed.

Keywords: Risk measure; allocation; regulation; coherent risk contribution; systemic risk; procyclical effect (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (8)

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DOI: 10.1142/S0219024913500416

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