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Conditional Systemic Risk Measures

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  • Alessandro Doldi
  • Marco Frittelli

Abstract

We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended to a conditional setting. After providing a general dual representation result, we analyze in greater detail Conditional Shortfall Systemic Risk Measures. In the particular case of exponential preferences, we provide explicit formulas that also allow us to show a time consistency property. Finally, we provide an interpretation of the allocations associated to Conditional Shortfall Systemic Risk Measures as suitably defined equilibria. Conceptually, the generalization from static to conditional Systemic Risk Measures can be achieved in a natural way, even though the proofs become more technical than in the unconditional framework.

Suggested Citation

  • Alessandro Doldi & Marco Frittelli, 2020. "Conditional Systemic Risk Measures," Papers 2010.11515, arXiv.org, revised May 2021.
    • Handle: RePEc:arx:papers:2010.11515
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    References listed on IDEAS

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    3. Bernard, C. & De Gennaro Aquino, L. & Vanduffel, S., 2023. "Optimal multivariate financial decision making," European Journal of Operational Research, Elsevier, vol. 307(1), pages 468-483.

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