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Systemic risk and copula models


  • Georg Ch. Pflug

    () (Universität Wien

  • Alois Pichler

    () (Technische Universität Chemnitz)


Abstract Systemic risk describes the phenomenon that dependency adds a specific component of risk to a system or network of (financial) institutions as a whole, which would not be present if the institutions were independent from each other. This paper introduces the concept of systemic risk measures. We describe and study its behavior as a function of the copula, which represents the loss variables of the institutions in the network. Further, we define stochastic order relations on copulas and relate them with systemic risk measures.

Suggested Citation

  • Georg Ch. Pflug & Alois Pichler, 2018. "Systemic risk and copula models," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 26(2), pages 465-483, June.
  • Handle: RePEc:spr:cejnor:v:26:y:2018:i:2:d:10.1007_s10100-018-0525-z
    DOI: 10.1007/s10100-018-0525-z

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    References listed on IDEAS

    1. Marco Scarsini, 1998. "Multivariate convex orderings, dependence, and stochastic equality," Post-Print hal-00541775, HAL.
    2. Hofert, Marius, 2008. "Sampling Archimedean copulas," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5163-5174, August.
    3. Denuit, Michel & Vermandele, Catherine, 1998. "Optimal reinsurance and stop-loss order," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 229-233, July.
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