Systemic risk measures with markets volatility

Fei Sun, Yaohua Hu, Jingchao Li and Jieming Zhou

Papers from arXiv.org

Abstract: Systemic risk measures (SRMs) are crucial for the stability of financial markets, yet classical formulations fail to capture the complexity of market volatility. We propose a new framework for systemic risk measurement on the variable-exponent Bochner-Lebesgue space (VEBLS) $L^{p(\cdot)}$, where the exponent $p(\cdot)$ is modeled as a random variable, thereby incorporating latent volatility effects. By introducing appropriate deterministic functions (DFs) and single-firm risk measures (SFRMs), we decompose systemic risk assessment in $L^{p(\cdot)}$ into two sequential components and establish corresponding dual representations. Several examples are provided to illustrate the theoretical results.

Date: 2018-11, Revised 2026-01
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (30)

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