英文标题：
《Conditional risk measures in a bipartite market structure》
---
作者：
Oliver Kley and Claudia Kl\\\"uppelberg and Gesine Reinert
---
最新提交年份：
2015
---
英文摘要：
In this paper we study the effect of network structure between agents and objects on measures for systemic risk. We model the influence of sharing large exogeneous losses to the financial or (re)insuance market by a bipartite graph. Using Pareto-tailed losses and multivariate regular variation we obtain asymptotic results for systemic conditional risk measures based on the Value-at-Risk and the Conditional Tail Expectation. These results allow us to assess the influence of an individual institution on the systemic or market risk and vice versa through a collection of conditional systemic risk measures. For large markets Poisson approximations of the relevant constants are provided in the example of an insurance market. The example of an underlying homogeneous random graph is analysed in detail, and the results are illustrated through simulations.
---
中文摘要：
本文研究了主体与客体之间的网络结构对系统性风险度量的影响。我们通过一个二部图模拟了分担巨额外部损失对金融或（再）抵抗市场的影响。利用Pareto尾损失和多元正则变分，我们得到了基于风险值和条件尾期望的系统条件风险度量的渐近结果。这些结果允许我们通过一系列有条件的系统性风险度量来评估单个机构对系统性或市场风险的影响，反之亦然。对于大型市场，在保险市场的例子中提供了相关常数的泊松近似。详细分析了底层齐次随机图的例子，并通过仿真说明了结果。
---
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
--

---
PDF下载：
-->