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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...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Accepted Manuscript

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Publisher copy:
10.1080/03461238.2017.1350203

Authors


Klueppelberg, C More by this author
More by this author
Department:
Oxford, MPLS, Statistics
Publisher:
Taylor & Francis Publisher's website
Journal:
Scandinavian Actuarial Journal Journal website
Volume:
2018
Issue:
4
Pages:
328-355
Publication date:
2017-07-13
Acceptance date:
2017-06-30
DOI:
EISSN:
1651-2030
ISSN:
0346-1238
Pubs id:
pubs:703087
URN:
uri:029afc8a-f58c-469e-85e1-879347635379
UUID:
uuid:029afc8a-f58c-469e-85e1-879347635379
Local pid:
pubs:703087

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