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Allocating Systemic Risk In A Regulatory Perspective

Author

Listed:
  • C. GOURIEROUX

    (CREST, University of Toronto, Canada)

  • A. MONFORT

    (CREST, Banque of France, France)

Abstract

The paper proposes an axiomatic approach for allocating aggregate risk among individual entities. It is shown that a risk allocation system should obey two axioms. The allocations satisfying these axioms are called coherent risk contributions and are characterized. In the paper, the contribution of each entity is decomposed into a systemic part, an unsystemic part and, possibly, a cross effect. Consequences in terms of regulation are discussed.

Suggested Citation

  • C. Gourieroux & A. Monfort, 2013. "Allocating Systemic Risk In A Regulatory Perspective," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(07), pages 1-20.
    • Handle: RePEc:wsi:ijtafx:v:16:y:2013:i:07:n:s0219024913500416
    DOI: 10.1142/S0219024913500416
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    References listed on IDEAS

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    1. Martin Hellwig, 2010. "Capital Regulation after the Crisis: Business as Usual?," ifo DICE Report, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 8(02), pages 40-46, July.
    2. repec:ces:ifodic:v:8:y:2010:i:2:p:14566986 is not listed on IDEAS
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    Cited by:

    1. Dhaene, Jan & Laeven, Roger J.A. & Zhang, Yiying, 2022. "Systemic risk: Conditional distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 126-145.
    2. Kley, Oliver & Klüppelberg, Claudia & Paterlini, Sandra, 2020. "Modelling extremal dependence for operational risk by a bipartite graph," Journal of Banking & Finance, Elsevier, vol. 117(C).
    3. Takaaki Koike & Marius Hofert, 2019. "Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations," Papers 1909.11794, arXiv.org, revised May 2020.
    4. Takaaki Koike & Marius Hofert, 2020. "Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations," Risks, MDPI, vol. 8(1), pages 1-33, January.

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