We establish dual representations for systemic risk measures based on acceptance sets in a general setting. We deal with systemic risk measures of both "first allocate, then aggregate" and "first aggregate, then allocate" type. In both cases, we provide a detailed analysis of the corresponding systemic acceptance sets and their support functions. The same approach delivers a simple and self-contained proof of the dual representation of utility-based risk measures for univariate positions.

Dual representations for systemic risk measures based on acceptance sets

Cosimo Munari
2019-01-01

Abstract

We establish dual representations for systemic risk measures based on acceptance sets in a general setting. We deal with systemic risk measures of both "first allocate, then aggregate" and "first aggregate, then allocate" type. In both cases, we provide a detailed analysis of the corresponding systemic acceptance sets and their support functions. The same approach delivers a simple and self-contained proof of the dual representation of utility-based risk measures for univariate positions.
2019
capital adequacy, systemic risk, risk measures, dual representations
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/1110726
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