TY - JOUR
T1 - Conditional risk measures in a bipartite market structure
AU - Kley, Oliver
AU - Klüppelberg, Claudia
AU - Reinert, Gesine
N1 - Publisher Copyright:
© 2017 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2018/4/21
Y1 - 2018/4/21
N2 - 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.
AB - 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.
KW - Bipartite network
KW - Conditional Tail Expectation
KW - Poisson approximation
KW - Value-at-Risk
KW - conditional risk measures
KW - multivariate regular variation
KW - systemic risk measures
UR - http://www.scopus.com/inward/record.url?scp=85023756485&partnerID=8YFLogxK
U2 - 10.1080/03461238.2017.1350203
DO - 10.1080/03461238.2017.1350203
M3 - Article
AN - SCOPUS:85023756485
SN - 0346-1238
VL - 2018
SP - 328
EP - 355
JO - Scandinavian Actuarial Journal
JF - Scandinavian Actuarial Journal
IS - 4
ER -