Conditional Systemic Risk Measures
Abstract
We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended 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.
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Information & Authors
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Published In
SIAM Journal on Financial Mathematics
Pages: 1459 - 1507
DOI: 10.1137/20M1370616
ISSN (online): 1945-497X
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© 2021, Society for Industrial and Applied Mathematics.
History
Submitted: 21 October 2020
Accepted: 12 August 2021
Published online: 16 November 2021
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