Systemic risk: Conditional distortion risk measures
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DOI: 10.1016/j.insmatheco.2021.12.002
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- Jan Dhaene & Roger J. A. Laeven & Yiying Zhang, 2019. "Systemic Risk: Conditional Distortion Risk Measures," Papers 1901.04689, arXiv.org, revised Jan 2019.
References listed on IDEAS
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- Tong Pu & Yifei Zhang & Yiying Zhang, 2024. "On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures," Papers 2405.07549, arXiv.org.
- Ortega-Jiménez, Patricia & Pellerey, Franco & Sordo, Miguel A. & Suárez-Llorens, Alfonso, 2024. "Probability equivalent level for CoVaR and VaR," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 22-35.
- Li, Jinzhu, 2022. "Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 38-56.
- Limin Wen & Junxue Li & Tong Pu & Yiying Zhang, 2024. "Comparisons of multivariate contribution measures of risk contagion and their applications in cryptocurrency market," Papers 2411.13384, arXiv.org.
- Zhang, Yiying, 2024. "Stochastic orders and distortion risk contribution ratio measures," Insurance: Mathematics and Economics, Elsevier, vol. 118(C), pages 104-122.
- Ortega-Jiménez, P. & Sordo, M.A. & Suárez-Llorens, A., 2021. "Stochastic orders and multivariate measures of risk contagion," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 199-207.
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- Mélanie Bourassa Forcier & Charles-Étienne Daniel & Arthur Oulaï & Natalia Torres Orozco & Olivia Toussaint-Martin & Mathieu Kiriakos, 2023. "Le déploiement de la cybersanté au Mali: considérations juridiques à partir de la perspective québécoise," CIRANO Working Papers 2023s-08, CIRANO.
- Peng Liu & Andreas Tsanakas & Yunran Wei, 2024. "Risk sharing with Lambda value at risk under heterogeneous beliefs," Papers 2408.03147, arXiv.org, revised Sep 2024.
- Zang, Xin & Jiang, Fan & Xia, Chenxi & Yang, Jingping, 2024. "Random distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 51-73.
- Qiu, Ming & Jin, Zhuo & Li, Shuanming, 2023. "Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 1-23.
- Bingzhen Geng & Yang Liu & Yimiao Zhao, 2024. "Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification," Papers 2404.18029, arXiv.org.
- Ye, Wuyi & Zhou, Yi & Chen, Pengzhan & Wu, Bin, 2024. "A simulation-based method for estimating systemic risk measures," European Journal of Operational Research, Elsevier, vol. 313(1), pages 312-324.
- Aleksy Leeuwenkamp & Wentao Hu, 2023. "New general dependence measures: construction, estimation and application to high-frequency stock returns," Papers 2309.00025, arXiv.org.
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More about this item
Keywords
Distortion risk measures; Co-risk measures; Risk contribution measures; Systemic risk; Stochastic orders; Copula;All these keywords.
JEL classification:
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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