Systemic risk: Conditional distortion risk measures

In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and distortion risk contribution (ΔCoD) measures as measures of systemic risk and analyze their properties and representations. The classes unify, and significantly extend, existing systemic risk measures such...

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Bibliographic Details
Published inInsurance, mathematics & economics Vol. 102; pp. 126 - 145
Main Authors Dhaene, Jan, Laeven, Roger J.A., Zhang, Yiying
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.01.2022
Elsevier Sequoia S.A
Subjects
Co-risk measures
Copula
Distortion
Distortion risk measures
Dominance
Risk analysis
Risk assessment
Risk contribution measures
Risk factors
Risk management
Stochastic models
Stochastic orders
Systemic risk
Wealth
Co-risk measures
Stochastic orders
Copula
G22
Risk contribution measures
Systemic risk
Distortion risk measures
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Summary:In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and distortion risk contribution (ΔCoD) measures as measures of systemic risk and analyze their properties and representations. The classes unify, and significantly extend, existing systemic risk measures such as the conditional Value-at-Risk, conditional Expected Shortfall, and risk contribution measures in terms of the VaR and ES. We provide sufficient conditions for two random vectors to be ordered by the proposed CoD-risk measures and ΔCoD-measures. These conditions are expressed using the conventional stochastic dominance, increasing convex/concave, dispersive, and excess wealth orders for the marginals and canonical positive/negative stochastic dependence notions.
ISSN:0167-6687
1873-5959
DOI:10.1016/j.insmatheco.2021.12.002