Dynamic systemic risk measures for bounded discrete time processes View Full Text


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Article Info

DATE

2019-02-28

AUTHORS

E. Kromer, L. Overbeck, K. Zilch

ABSTRACT

The question of measuring and managing systemic risk—especially in view of the recent financial crisis—became more and more important. We study systemic risk by taking the perspective of a financial regulator and considering the axiomatic approach originally introduced in Chen et al. (Manag Sci 59(6):1373–1388, 2013) and extended in Kromer et al. (Math Methods Oper Res 84:323–357, 2016). The aim of this paper is to generalize the static approach in Kromer et al. (2016) and analyze systemic risk measures in a dynamic setting. We work in the framework of Cheridito et al. (Electron J Probab 11:57–106, 2006) who consider risk measures for bounded discrete-time processes. Apart from the possibility to consider the “evolution of financial values”, another important advantage of the dynamic approach is the possibility to incorporate information in the risk measurement and management process. In context of this dynamic setting we also discuss the arising question of time-consistency for our dynamic systemic risk measures. More... »

PAGES

1-32

References to SciGraph publications

  • 2012-10. Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles in FINANCE AND STOCHASTICS
  • 2017-12. A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective in PROBABILITY, UNCERTAINTY AND QUANTITATIVE RISK
  • 2002-10. Convex measures of risk and trading constraints in FINANCE AND STOCHASTICS
  • 2011. Dynamic Risk Measures in ADVANCED MATHEMATICAL METHODS FOR FINANCE
  • 2016-10. Systemic risk measures on general measurable spaces in MATHEMATICAL METHODS OF OPERATIONS RESEARCH
  • 2006. The Structure of m–Stable Sets and in Particular of the Set of Risk Neutral Measures in IN MEMORIAM PAUL-ANDRÉ MEYER
  • 2002. Coherent Risk Measures on General Probability Spaces in ADVANCES IN FINANCE AND STOCHASTICS
  • 2007-07. Coherent multiperiod risk adjusted values and Bellman’s principle in ANNALS OF OPERATIONS RESEARCH
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    http://scigraph.springernature.com/pub.10.1007/s00186-018-0655-z

    DOI

    http://dx.doi.org/10.1007/s00186-018-0655-z

    DIMENSIONS

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