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Mathematics and Financial Economics

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21-11-2019

Dual representations for systemic risk measures based on acceptance sets

Authors: Maria Arduca, Pablo Koch-Medina, Cosimo Munari

Published in: Mathematics and Financial Economics | Issue 1/2021

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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.

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Title: Dual representations for systemic risk measures based on acceptance sets
Authors: Maria Arduca
Pablo Koch-Medina
Cosimo Munari
Publication date: 21-11-2019
Publisher: Springer Berlin Heidelberg
Published in: Mathematics and Financial Economics / Issue 1/2021
Print ISSN: 1862-9679
Electronic ISSN: 1862-9660
DOI: https://doi.org/10.1007/s11579-019-00250-0

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