Risk-consistent conditional systemic risk measures

Time Consistent Dynamic Risk Measures

Measures of Systemic Risk

Systemic Risk Evaluation of Banks and financial institutions applying Markov clustering method and centrality measures of risk

Systemic risk is the risk beared by an economic system because of a special organization. This means that a liquidity problem or a financial crisis in one company could trigger a chain of reactions that puts the whole market into trouble. This kind of risk was underestimated until 2008 financial crisis. Now federal regulations exist for controlling this risk of financial institutions. Among div...

Some New Classes of Consistent Risk Measures

Many types of insurance premium principles and/or risk measures can be characterized by means of a set of axioms, which in many cases are rather arbitrarily chosen and not always in accordance with economic reality. In the present paper we generalize Yaari’s risk measure by relaxing his axioms. In addition, we derive translation invariant minimal Orlicz risk measures, which we call Haezendonck ...

SSD Consistent Criteria and Coherent Risk Measures

The mean-risk approach quantifies the problem of choice among uncertain prospects in a lucid form of only two criteria: the mean, representing the expected outcome, and the risk: a scalar measure of the variability of outcomes. The model is appealing to decision makers but it may lead to inferior conclusions. Several risk measures, however, can be combined with the mean itself into the robust o...