Dual representations for systemic risk measures

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buir.contributor.authorArarat, Çağın
dc.citation.epage174en_US
dc.citation.issueNumber1en_US
dc.citation.spage139en_US
dc.citation.volumeNumber14en_US
dc.contributor.authorArarat, Çağınen_US
dc.contributor.authorRudloff, B.en_US
dc.date.accessioned2020-02-20T11:06:12Z
dc.date.available2020-02-20T11:06:12Z
dc.date.issued2020en_US
dc.departmentDepartment of Industrial Engineeringen_US
dc.description.abstractThe financial crisis showed the importance of measuring, allocating and regulating systemic risk. Recently, the systemic risk measures that can be decomposed into an aggregation function and a scalar measure of risk, received a lot of attention. In this framework, capital allocations are added after aggregation and can represent bailout costs. More recently, a framework has been introduced, where institutions are supplied with capital allocations before aggregation. This yields an interpretation that is particularly useful for regulatory purposes. In each framework, the set of all feasible capital allocations leads to a multivariate risk measure. In this paper, we present dual representations for scalar systemic risk measures as well as for the corresponding multivariate risk measures concerning capital allocations. Our results cover both frameworks: aggregating after allocating and allocating after aggregation. As examples, we consider the aggregation mechanisms of the Eisenberg–Noe model as well as those of the resource allocation and network flow models.en_US
dc.identifier.doi10.1007/s11579-019-00249-7en_US
dc.identifier.issn1862-9679en_US
dc.identifier.urihttp://hdl.handle.net/11693/53450en_US
dc.language.isoEnglishen_US
dc.publisherSpringeren_US
dc.relation.isversionofhttps://dx.doi.org/10.1007/s11579-019-00249-7en_US
dc.source.titleMathematics and Financial Economicsen_US
dc.subjectSystemic risken_US
dc.subjectRisk measureen_US
dc.subjectFinancial networken_US
dc.subjectDual representationen_US
dc.subjectConvex dualityen_US
dc.subjectPenalty functionen_US
dc.subjectRelative entropyen_US
dc.subjectMultivariate risken_US
dc.subjectShortfall risken_US
dc.titleDual representations for systemic risk measuresen_US
dc.typeArticleen_US

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