Some Systemic Risk Indicators

Yassine El Qalli () and Said Khalil ()
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Yassine El Qalli: INSEA - Institut National de Statistique et d’Economie Appliquée [Rabat]
Said Khalil: INSEA - Institut National de Statistique et d’Economie Appliquée [Rabat]

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Abstract: This paper aims to introduce novel systemic risk indicators based on risk allocation methods employed in actuarial science. We present diverse general approaches for constructing these indicators and utilize them to derive indicators based on commonly used risk measures such as Value at Risk, Tail Value at Risk, and Expectiles. Furthermore, we analyze the influence of the dependence structure on the behavior of these indicators using a range of copula models. To support our findings, we provide numerical illustrations.

Keywords: Systemic risk; Risk measures; Capital allocation; Shapley method; Euler Method; VaR; TVaR; Expectiles; Copulas (search for similar items in EconPapers)
Date: 2023-07-20
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