英文标题：
《RiskRank: Measuring interconnected risk》
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作者：
J\\\'ozsef Mezei and Peter Sarlin
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最新提交年份：
2016
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英文摘要：
This paper proposes RiskRank as a joint measure of cyclical and cross-sectional systemic risk. RiskRank is a general-purpose aggregation operator that concurrently accounts for risk levels for individual entities and their interconnectedness. The measure relies on the decomposition of systemic risk into sub-components that are in turn assessed using a set of risk measures and their relationships. For this purpose, motivated by the development of the Choquet integral, we employ the RiskRank function to aggregate risk measures, allowing for the integration of the interrelation of different factors in the aggregation process. The use of RiskRank is illustrated through a real-world case in a European setting, in which we show that it performs well in out-of-sample analysis. In the example, we provide an estimation of systemic risk from country-level risk and cross-border linkages.
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中文摘要：
本文提出RiskRank作为周期性和横向系统性风险的联合度量。RiskRank是一个通用的聚合运算符，它同时考虑单个实体的风险水平及其相互关联性。该度量依赖于将系统性风险分解为子组件，然后使用一组风险度量及其关系对这些子组件进行评估。为此，在Choquet积分发展的推动下，我们使用RiskRank函数来聚合风险度量，允许在聚合过程中整合不同因素的相互关系。RiskRank的使用通过在欧洲环境中的一个真实案例进行了说明，在该案例中，我们表明它在样本外分析中表现良好。在这个例子中，我们从国家层面的风险和跨境联系来估计系统性风险。
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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：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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