communication: Dual representations for systemic risk measures
speaker: Cagin Araratspeaker: Birgit Rudloff (Vienna University of Economics and Business)
abstract: In the event of a financial crisis, it becomes important to measure and allocate the risk of a network of financial institutions. Such risk which takes into account the interconnectedness of the financial institutions is usually referred to as “systemic risk.” This paper is concerned with a recent multivariate approach for measuring systemic risk where the state of the financial network is modeled as a random vector of individual equitieslosses. Then, the systemic risk measure is defined as the set of all capital allocation vectors that make the “impact of the system to the society” acceptable. We present a dual representation theorem for the systemic risk measure and provide economic interpretations of the dual variables. As a special case, we consider a financial system with exponential aggregation mechanism, where the distances of the financial institutions with respect to the society are measured in terms of relative entropies.
timetable:
Fri 29 Jan, 11:00 - 13:00, Sala Stemmi
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