Financial risk measures for a network of individual agents holding portfolios of light-tailed objects

In this paper, we investigate a financial network of agents holding portfolios of independent light-tailed objects with losses assumed to be asymptotically exponentially distributed with distinct tail parameters. For portfolio losses, we deduce distributions referring to the class of functional exponential mixtures. We also provide statements for common risk measures – Value-at-Risk and Expected Shortfall – and quantify conditional risk measures by deriving results for Conditional Expected Shortfall. We establish important qualitative differences in stochastic behaviour of portfolio risks under light-tail assumption compared to heavy-tail settings, which should be accounted for in practical risk management.     «

In this paper, we investigate a financial network of agents holding portfolios of independent light-tailed objects with losses assumed to be asymptotically exponentially distributed with distinct tail parameters. For portfolio losses, we deduce distributions referring to the class of functional exponential mixtures. We also provide statements for common risk measures – Value-at-Risk and Expected Shortfall – and quantify conditional risk measures by deriving results for Conditional Expected Short...     »