Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Conference Presentation |
| Scope | Discipline-based scholarship |
| Title | Systemic intrinsic risk measures |
| Organization Unit | |
| Authors |
|
| Presentation Type | paper |
| Item Subtype | Original Work |
| Refereed | No |
| Status | Published electronically before print/final form (Epub ahead of print) |
| Language |
|
| Event Title | 23rd International Congress on Insurance: Mathematics and Economics (IME 2019) |
| Event Type | conference |
| Event Location | München, Germany |
| Event Start Date | July 10 - 2019 |
| Event End Date | July 12 - 2019 |
| Abstract Text | In recent years, it has become clear that an isolated micro-prudential approach to capital adequacy requirements of individual institutions is insufficient. It can increase the homogeneity of the financial system and ultimately the cost to society. For this reason, the focus of the financial and mathematical literature has shifted towards the macro-prudential regulation of the financial network as a whole. In particular, systemic risk measures have been discussed as a risk mitigation tool. In this spirit, we adopt a general approach of multivariate, set-valued risk measures and combine it with the recently proposed notion of intrinsic risk measures. In the latter, instead of using external capital to define the risk of a financial position, we use internal capital, which is received when part of the currently held position is sold. We translate this into a systemic framework and show that the systemic intrinsic risk measures have desirable properties such as monotonicity and quasi-convexity. Furthermore, for convex acceptance sets we derive dual representations of the systemic intrinsic risk measures. |
| Export |
BibTeX
|