Journal article
Conditional risk measures in a bipartite market structure
- Abstract:
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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
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- Files:
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(Accepted manuscript, pdf, 3.5MB)
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- Publisher copy:
- 10.1080/03461238.2017.1350203
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Authors
Funding
Bibliographic Details
- Publisher:
- Taylor and 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:
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1651-2030
- ISSN:
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0346-1238
- Source identifiers:
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703087
Item Description
- Keywords:
- Pubs id:
-
pubs:703087
- UUID:
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uuid:029afc8a-f58c-469e-85e1-879347635379
- Local pid:
- pubs:703087
- Deposit date:
- 2017-07-06
Terms of use
- Copyright holder:
- Informa UK Limited, trading as Taylor & Francis Group
- Copyright date:
- 2017
- Notes:
- Copyright © 2017 Informa UK Limited, trading as Taylor & Francis Group. This is the accepted manuscript version of the article. The final version is available online from Taylor & Francis at: https://doi.org/10.1080/03461238.2017.1350203
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