Are Shortfall Systemic Risk Measures One Dimensional?

Alessandro Doldi, Marco Frittelli and Emanuela Rosazza Gianin

Papers from arXiv.org

Abstract: Shortfall systemic (multivariate) risk measures $\rho$ defined through an $N$-dimensional multivariate utility function $U$ and random allocations can be represented as classical (one dimensional) shortfall risk measures associated to an explicitly determined $1$-dimensional function constructed from $U$. This finding allows for simplifying the study of several properties of $\rho$, such as dual representations, law invariance and stability.

Date: 2023-06
New Economics Papers: this item is included in nep-rmg and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2306.10752 Latest version (application/pdf)

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:arx:papers:2306.10752

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().