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Dual representations for systemic risk measures based on acceptance sets

  • Maria Arduca
  • Pablo Koch-MedinaEmail author
  • Cosimo Munari
Article
  • 44 Downloads

Abstract

We establish dual representations for systemic risk measures based on acceptance sets in a general setting. We deal with systemic risk measures of both “first allocate, then aggregate” and “first aggregate, then allocate” type. In both cases, we provide a detailed analysis of the corresponding systemic acceptance sets and their support functions. The same approach delivers a simple and self-contained proof of the dual representation of utility-based risk measures for univariate positions.

Keywords

Systemic risk Macroprudential regulation Risk measures Dual representations 

JEL Classification

C02 G18 G32 

Notes

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2019

Authors and Affiliations

  1. 1.Department of Statistics and Quantitative MethodsUniversity of Milano-BicoccaMilanItaly
  2. 2.Center for Finance and Insurance and Swiss Finance InstituteUniversity of ZurichZurichSwitzerland

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