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Titel:

Conditional risk measures in a bipartite market structure

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Kley, O., Klüppelberg, C., and Reinert, G.
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:
4
Seitenangaben Beitrag:
328-355
Volltext / DOI:
doi:10.1080/03461238.2017.1350203
Verlag / Institution:
Taylor & Francis
Status:
Verlagsversion / published
Eingereicht (bei Zeitschrift):
15.10.2016
Angenommen (von Zeitschrift):
29.06.2017
Publikationsdatum:
31.05.2018
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
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