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arXiv · 1609.07897

Risk-Consistent Conditional Systemic Risk Measures

Hannes Hoffmann·Thilo Meyer-Brandis·Gregor Svindland
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Abstract

We axiomatically introduce risk-consistent conditional systemic risk measures defined on multidimensional risks. This class consists of those conditional systemic risk measures which can be decomposed into a state-wise conditional aggregation and a univariate conditional risk measure. Our studies extend known results for unconditional risk measures on finite state spaces. We argue in favor of a conditional framework on general probability spaces for assessing systemic risk. Mathematically, the problem reduces to selecting a realization of a random field with suitable properties. Moreover, our approach covers many prominent examples of systemic risk measures from the literature and used in practice.

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Hannes Hoffmann, Thilo Meyer-Brandis, Gregor Svindland. 2016-09-26. Risk-Consistent Conditional Systemic Risk Measures. https://arxiv.org/abs/1609.07897

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