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On Fairness of Systemic Risk Measures by Francesca Biagini; Jean-Pierre Fouque; Marco Frittelli; Thilo Meyer-Brandis is a Economics, Econometrics and Finance article available to read on EtoBox.

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## Abstract In our previous paper “A unified approach to systemic risk measures via acceptance sets” (Mathematical Finance, 2018), we have introduced a general class of systemic risk measures that allow random allocations to individual banks before aggregation of their risks. In the present paper, we prove a dual representation of a particular subclass of such systemic risk measures and the existence and uniqueness of the optimal allocation related to them. We also introduce an associated utility maximisation problem which has the same solution as the minimisation problem associated to the systemic risk measure. In addition, the optimiser in the dual formulation provides a risk allocation which is fair from the point of view of the individual financial institutions. The case with exponential utilities which allows explicit computation is treated in detail.

Who reads On Fairness of Systemic Risk Measures?

Author

Francesca Biagini; Jean-Pierre Fouque; Marco Frittelli; Thilo Meyer-Brandis

Publisher

Springer-Verlag; Springer Verlag; Springer Science and Business Media LLC (ISSN 0949-2984)

Published

2020

Language

EN

Field

Economics, Econometrics and Finance (Social Sciences)