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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Kley, O., Klüppelberg, C., and Reinert, G. 
Titel:
Conditional risk measures in a bipartite market structure 
Abstract:
In this paper, we study the effect of network structure between agents and objects on measures for systemic risk. We model the influence of sharing large exogeneous losses to the financial or (re)insurance market by a bipartite graph. Using Pareto-tailed losses and multivariate regular variation, we obtain asymptotic results for conditional risk measures based on the Value-at-Risk and the Conditional Tail Expectation. These results allow us to assess the influence of an individual institution on...    »
 
Stichworte:
Bipartite network, multivariate regular variation, Value-at-Risk, Conditional TailExpectation, Expected Shortfall, systemic risk measures, conditional risk measures, Poisson approximation. 
Dewey Dezimalklassifikation:
510 Mathematik 
Zeitschriftentitel:
Scandinavian Actuarial Journal 
Jahr:
2018 
Band / Volume:
2018 
Jahr / Monat:
2018-05 
Quartal:
2. Quartal 
Monat:
May 
Heft / Issue:
Seitenangaben Beitrag:
328-355 
Verlag / Institution:
Taylor & Francis 
Status:
Verlagsversion / published 
Angenommen (von Zeitschrift):
29.06.2017 
Publikationsdatum:
31.05.2018 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text