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英文标题：
《Risk-Consistent Conditional Systemic Risk Measures》
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作者：
Hannes Hoffmann, Thilo Meyer-Brandis, Gregor Svindland
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最新提交年份：
2016
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英文摘要：
We axiomatically introduce risk-consistent conditional systemic risk measures defined on multidimensional risks. This class consists of those conditional systemic risk measures which can be decomposed into a state-wise conditional aggregation and a univariate conditional risk measure. Our studies extend known results for unconditional risk measures on finite state spaces. We argue in favor of a conditional framework on general probability spaces for assessing systemic risk. Mathematically, the problem reduces to selecting a realization of a random field with suitable properties. Moreover, our approach covers many prominent examples of systemic risk measures from the literature and used in practice.
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中文摘要：
我们公理化地引入了基于多维风险定义的风险一致性条件系统性风险度量。此类由条件系统性风险度量组成，可分解为状态条件聚合和单变量条件风险度量。我们的研究扩展了有限状态空间上无条件风险测度的已知结果。我们主张在一般概率空间上建立一个评估系统性风险的条件框架。从数学上讲，问题归结为选择具有适当性质的随机场的实现。此外，我们的方法涵盖了文献和实践中使用的许多系统性风险度量的突出示例。
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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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