英文标题：
《Multivariate Shortfall Risk Allocation and Systemic Risk》
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作者：
Yannick Armenti, Stephane Crepey, Samuel Drapeau, Antonis
Papapantoleon
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最新提交年份：
2017
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英文摘要：
The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financial components, such as portfolios, institutions or members of clearing houses. The two main issues in systemic risk measurement are the computation of an overall reserve level and its allocation to the different components according to their systemic relevance. We develop here a pragmatic approach to systemic risk measurement and allocation based on multivariate shortfall risk measures, where acceptable allocations are first computed and then aggregated so as to minimize costs. We analyze the sensitivity of the risk allocations to various factors and highlight its relevance as an indicator of systemic risk. In particular, we study the interplay between the loss function and the dependence structure of the components. Moreover, we address the computational aspects of risk allocation. Finally, we apply this methodology to the allocation of the default fund of a CCP on real data.
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中文摘要：
自全球金融危机爆发以来，对系统性风险的持续担忧突显了在组合、机构或清算所成员等一系列相互关联的金融组成部分层面采取风险措施的必要性。系统性风险度量的两个主要问题是计算总体储备水平，并根据其系统相关性将其分配给不同的组成部分。我们在这里开发了一种基于多元短缺风险度量的系统性风险度量和分配的实用方法，首先计算可接受的分配，然后进行汇总，以最小化成本。我们分析了风险分配对各种因素的敏感性，并强调其作为系统性风险指标的相关性。特别是，我们研究了损失函数和元件依赖结构之间的相互作用。此外，我们还讨论了风险分配的计算方面。最后，我们将此方法应用于实际数据上的CCP违约基金分配。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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