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Dual representations for systemic risk measures based on acceptance sets

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  • Maria Arduca
  • Pablo Koch-Medina
  • Cosimo Munari

Abstract

We establish dual representations for systemic risk measures based on acceptance sets in a general setting. We deal with systemic risk measures of both "first allocate, then aggregate" and "first aggregate, then allocate" type. In both cases, we provide a detailed analysis of the corresponding systemic acceptance sets and their support functions. The same approach delivers a simple and self-contained proof of the dual representation of utility-based risk measures for univariate positions.

Suggested Citation

  • Maria Arduca & Pablo Koch-Medina & Cosimo Munari, 2019. "Dual representations for systemic risk measures based on acceptance sets," Papers 1906.10933, arXiv.org, revised Oct 2019.
    • Handle: RePEc:arx:papers:1906.10933
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    References listed on IDEAS

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    Cited by:

    1. Alessandro Doldi & Marco Frittelli, 2020. "Conditional Systemic Risk Measures," Papers 2010.11515, arXiv.org, revised May 2021.

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