We investigate to which extent the relevant features of (static) Systemic Risk Measures can be ex- tended to a conditional setting. After providing a general dual representation result, we analyze in greater detail Conditional Shortfall Systemic Risk Measures. In the particular case of exponential preferences, we provide explicit formulas that also allow us to show a time consistency property. Finally, we provide an interpretation of the allocations associated to Conditional Shortfall Systemic Risk Measures as suitably defined equilibria. Conceptually, the generalization from static to conditional Systemic Risk Measures can be achieved in a natural way, even though the proofs become more technical than in the unconditional framework.

Conditional Systemic Risk Measures / A. Doldi, M. Frittelli. - In: SIAM JOURNAL ON FINANCIAL MATHEMATICS. - ISSN 1945-497X. - 12:4(2021), pp. 1459-1507. [10.1137/20M1370616]

Conditional Systemic Risk Measures

A. Doldi
Primo
;
M. Frittelli
Ultimo
2021

Abstract

We investigate to which extent the relevant features of (static) Systemic Risk Measures can be ex- tended to a conditional setting. After providing a general dual representation result, we analyze in greater detail Conditional Shortfall Systemic Risk Measures. In the particular case of exponential preferences, we provide explicit formulas that also allow us to show a time consistency property. Finally, we provide an interpretation of the allocations associated to Conditional Shortfall Systemic Risk Measures as suitably defined equilibria. Conceptually, the generalization from static to conditional Systemic Risk Measures can be achieved in a natural way, even though the proofs become more technical than in the unconditional framework.
conditional risk, systemic risk, conditional equilibrium, dynamic risk measures
Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
Settore MAT/06 - Probabilita' e Statistica Matematica
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2434/891375
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