Conditional risk measures in a bipartite market structure

Oliver Kley, Claudia Klüppelberg, Gesine Reinert

Research output: Contribution to journalArticlepeer-review

8 Scopus citations


In this paper, we study the effect of network structure between agents and objects on measures for systemic risk. We model the influence of sharing large exogeneous losses to the financial or (re)insurance market by a bipartite graph. Using Pareto-tailed losses and multivariate regular variation, we obtain asymptotic results for conditional risk measures based on the Value-at-Risk and the Conditional Tail Expectation. These results allow us to assess the influence of an individual institution on the systemic or market risk and vice versa through a collection of conditional risk measures. For large markets, Poisson approximations of the relevant constants are provided. Differences of the conditional risk measures for an underlying homogeneous and inhomogeneous random graph are illustrated by simulations.

Original languageEnglish
Pages (from-to)328-355
Number of pages28
JournalScandinavian Actuarial Journal
Issue number4
StatePublished - 21 Apr 2018


  • Bipartite network
  • Conditional Tail Expectation
  • Poisson approximation
  • Value-at-Risk
  • conditional risk measures
  • multivariate regular variation
  • systemic risk measures


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