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Scalar systemic risk measures and Aumann-Shapley allocations

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  • Ludger Overbeck
  • Florian Schindler

Abstract

We study two different contributions to the theory of (scalar) systemic risk measures. Namely the first aggregate or axiomatic approach and the first inject capital approach. For this purpose we establish a general framework, which is rich enough to embed both approaches. It turns out that in most relevant situations systemic risk measures of the first inject capital approach have a representation in the more general axiomatic approach. Moreover, we study capital allocation rules (CARs). In both situations there exist canonical ways to answer the capital allocation problem. Additionally, a capital allocation rule (CAR) in the spirit of Aumann-Shapley is introduced, which gives us the opportunity to compute systemic capital allocations regardless of the risk measurement approach. This CAR also serves as an instrument to compare both approaches and to identify commonalities.

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  • Ludger Overbeck & Florian Schindler, 2021. "Scalar systemic risk measures and Aumann-Shapley allocations," Papers 2112.06534, arXiv.org, revised Jul 2022.
    • Handle: RePEc:arx:papers:2112.06534
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    References listed on IDEAS

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    Cited by:

    1. Alessandro Doldi & Marco Frittelli & Emanuela Rosazza Gianin, 2023. "Are Shortfall Systemic Risk Measures One Dimensional?," Papers 2306.10752, arXiv.org.

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