Risk-Consistent Conditional Systemic Risk Measures

Hannes Hoffmann, Thilo Meyer-Brandis and Gregor Svindland

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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.

Date: 2016-09
New Economics Papers: this item is included in nep-ban, nep-cba, nep-fmk, nep-rmg and nep-upt
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Citations: View citations in EconPapers (23)

Published in Stochastic Processes and their Applications, Vol. 126, No. 7, pp. 2014-2037

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