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Conditional Systemic Risk Measures [article]

Alessandro Doldi, Marco Frittelli
2021 arXiv   pre-print
We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended to a conditional setting.  ...  After providing a general dual representation result, we analyze in greater detail Conditional Shortfall Systemic Risk Measures.  ...  convex systemic risk measures and the detailed analysis of Conditional Shortfall Systemic Risk Measures.  ... 
arXiv:2010.11515v2 fatcat:asnfpqovmbb2rlvu2hijsjcxcm

Risk-consistent conditional systemic risk measures

Hannes Hoffmann, Thilo Meyer-Brandis, Gregor Svindland
2016 Stochastic Processes and their Applications  
We axiomatically introduce risk-consistent conditional systemic risk measures defined on multidimensional risks.  ...  This class consists of those conditional systemic risk measures which can be decomposed into a statewise conditional aggregation and a univariate conditional risk measure.  ...  A conditional framework for assessing systemic risk We consider systemic risk in a conditional framework. The standard motivation for considering conditional univariate risk measures (see e.g.  ... 
doi:10.1016/j.spa.2016.01.002 fatcat:m2mubr6p5jevlcmxvqq7jhns7q

Risk-Consistent Conditional Systemic Risk Measures [article]

Hannes Hoffmann, Thilo Meyer-Brandis, Gregor Svindland
2016 arXiv   pre-print
We axiomatically introduce risk-consistent conditional systemic risk measures defined on multidimensional risks.  ...  This class consists of those conditional systemic risk measures which can be decomposed into a state-wise conditional aggregation and a univariate conditional risk measure.  ...  A conditional framework for assessing systemic risk We consider systemic risk in a conditional framework. The standard motivation for considering conditional univariate risk measures (see e.g.  ... 
arXiv:1609.07897v1 fatcat:twx2xv472rchpat3cx5j2ydmpa

Systemic Risk: Conditional Distortion Risk Measures [article]

Jan Dhaene, Roger J. A. Laeven, Yiying Zhang
2019 arXiv   pre-print
In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and distortion risk contribution (ΔCoD) measures as measures of systemic risk and analyze their properties and  ...  Sufficient conditions are presented for two random vectors to be ordered by the proposed CoD-risk measures and distortion risk contribution measures.  ...  Co-Risk Measures and Risk Contribution Measures Conditional risk (co-risk) measures are increasingly employed as measures of systemic risk.  ... 
arXiv:1901.04689v2 fatcat:dxmd5v3fazejtchcslnispol3a

Stress testing and systemic risk measures using multivariate conditional probability [article]

Tomaso Aste
2021 arXiv   pre-print
Measures of stress impact and systemic risk are proposed. An application to the US equity market illustrates the potentials of this approach.  ...  In the study of systemic risk in a financial system, the multivariate conditional probability distribution can be used for stress-testing by quantifying the propagation of losses from a set of 'stressing  ...  Systemic risk measures and stress testing tools from these conditional probabilities are introduced in Section 5.  ... 
arXiv:2004.06420v3 fatcat:erbgkx25jjbrdhb4q4la2apbqi

Measuring Systemic Risk of Banking in Indonesia: Conditional Value at Risk Model Application

Harjum Muharam, Erwin Erwin
2017 Signifikan  
Measurement of systemic risk in the financial institutions, especially banks are crucial, because banks are highly vulnerable to financial crisis.  ...  Systemic risk is a risk of collapse of the financial system that would cause the financial system is not functioning properly.  ...  Segoviano and Goodhart Measuring Systemic Risk of Banking in...  ... 
doi:10.15408/sjie.v6i2.5296 fatcat:zahgbfetdjgdvaax5ytus7oazi

SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

Christian Brownlees, Robert F. Engle
2016 The Review of financial studies  
We introduce SRISK to measure the systemic risk contribution of a financial firm.  ...  SRISK measures the capital shortfall of a firm conditional on a severe market decline, and is a function of its size, leverage and risk.  ...  Systemic Risk Measurement The objective of the SRISK methodology is to measure the capital shortfall a financial firm is expected to experience conditional on a systemic event.  ... 
doi:10.1093/rfs/hhw060 fatcat:adcrxajtuffqpfuguawfrwil2a

Stress Testing and Systemic Risk Measures Using Elliptical Conditional Multivariate Probabilities

Tomaso Aste
2021 Journal of Risk and Financial Management  
In this paper, I investigate the vast family of multivariate elliptical distributions, discussing their estimation from data and proposing novel measures for stress impact and systemic risk in systems  ...  Therefore, the knowledge of the conditional probability distribution function can provide a full quantification of risk and stress propagation in the system.  ...  The risk in the system is measured by the probability of negative fluctuations (losses).  ... 
doi:10.3390/jrfm14050213 fatcat:uh2sf356nnfrfakp5f7xcfpy2i

Average Conditional Volatility: A Measure Of Systemic Risk For Commercial Banks

Harikumar Sankaran, Manish Saxena, Christopher A. Erickson
2011 Journal of Business & Economics Research  
volatility of commercial bank stock returns as a measure of systemic risk for the U.S. banking industry.  ...  Cross-sectional regressions indicate that individual bank’s probability of default is unrelated to the bank’s conditional volatility during times of low, industry wide risk (as measured by  ...  as a measure of systemic risk.  ... 
doi:10.19030/jber.v9i2.1819 fatcat:mkn5kjdmbrcolmdmq6fhxjwgia

Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models

Jaeho Yun, Hyejung Moon
2014 Pacific-Basin Finance Journal  
To compute both measures we employ Engle's dynamic conditional correlation model.  ...  Our empirical analysis shows, first, that although these two systemic risk measures differ in defining the contributions to systemic risk, both are qualitatively very similar in explaining the cross-sectional  ...  has also been very popular for measuring systemic risk.  ... 
doi:10.1016/j.pacfin.2014.02.005 fatcat:2swc5zhrzncc7evdbyq5kjcpzm

When data are not missing at random: implications for measuring health conditions in the Behavioral Risk Factor Surveillance System

Martin R Frankel, Michael P Battaglia, Lina Balluz, Tara Strine
2012 BMJ Open  
Objectives: To examine the effect on estimated levels of health conditions produced from large-scale surveys, when either list-wise respondent deletion or standard demographic item-level imputation is  ...  When data are not missing at random: implications for measuring health conditions in the Behavioral Risk Factor Surveillance System. BMJ Open 2012;2:e000696.  ...  Many variables associated with health conditions, risks and behaviours do not receive imputed values.  ... 
doi:10.1136/bmjopen-2011-000696 pmid:22798250 pmcid:PMC3400062 fatcat:7wnyneq7inhbnke5pvtb2xfymu

Development trends and distinctive features of online insurance

Gulnora Akramova, Bakhodir Sadritdinov
2022 Научные исследования и инновации в индустрии 4.0.  
PD-2158 "On measures for the further implementation of information and communication technologies in the real sector of the economy" measures for the implementation of information technology in business  ...  In the conditions of intensive informatization processes, modern society requires an active implementation of information technologies in the insurance industry.  ...  Is, applied to insurance programs for electronic devices, implying insurance of not only traditional but also specific property risks, such as power grid failures, failure of air conditioning systems air  ... 
doi:10.47689/4.v1i1.3555 fatcat:m6i73egrrvesfirvk2nrte2vja

An Axiomatic Approach to Systemic Risk

Chen Chen, Garud Iyengar, Ciamac C. Moallemi
2013 Management science  
Moreover, the systemic risk measures that satisfy our conditions yield decentralized decompositions; i.e., the systemic risk can be decomposed into risk due to individual agents.  ...  This general class of systemic risk measures captures many specific measures of systemic risk that have recently been proposed as special cases and highlights their implicit assumptions.  ...  The conditions (i)-(iv) are analogous to the corresponding conditions for a systemic risk measure and motivated by similar concerns.  ... 
doi:10.1287/mnsc.1120.1631 fatcat:s3mllqchwnh6fenhspfnooaofm

Measuring Systemic Risks in the Turkish Banking Sector

Serkan Sengul, Ensar Yilmaz
2020 Business and Economics Research Journal  
This paper focused on measuring the systemic risks in Turkey's banking sector by using two major measures that have been proposed in the literature as conditional value at risk (CoVaR) and marginal expected  ...  differences in systemic risk contributions.  ...  This paper focused on measuring the impacts of regulations on the systemic risks in Turkey's banking sector by using two major measures that have been proposed in the literature as conditional value at  ... 
doi:10.20409/berj.2019.222 fatcat:47f5vze7kbhnxddqyn4m2yhkne

Designing a Countercyclical Insurance Program for Systemic Risk

Phelim Boyle, Joseph H. T. Kim
2012 Journal of Risk and Insurance  
The risk charge is based on the generalized co-conditional tail expectation, a conditional risk measure adapted from conditional value-at-risk.  ...  This article proposes a framework for measuring and managing systemic risk. Current solvency regulations have been criticized for their focus on individual firms rather than the system as a whole.  ...  The risk charge is based on the generalized co-conditional tail expectation, a conditional risk measure adapted from conditional value-at-risk.  ... 
doi:10.1111/j.1539-6975.2012.01473.x fatcat:trg5fehlbjcktjn3brbs4kfc3i
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