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Type	Journal Article
Scope	Discipline-based scholarship
Title	Dual representations for systemic risk measures based on acceptance sets
Organization Unit	Finance and Insurance (Cosimo Munari) Finance and Insurance (Pablo Koch Medina)
Authors	Maria Arduca Pablo Koch Medina Cosimo Munari
Item Subtype	Original Work
Refereed	Yes
Status	Published in final form
Language	English
Journal Title	Mathematics and Financial Economics
Publisher	Springer
Geographical Reach	international
ISSN	1862-9679
Volume	15
Number	1
Page Range	155 - 184
Date	2021
Abstract Text	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.
Related URLs	https://link.springer.com/article/10.1007%2Fs11579-019-00250-0
Digital Object Identifier	10.1007/s11579-019-00250-0
Other Identification Number	merlin-id:18836
Export	BibTeX EP3 XML (ZORA)