Strong Comonotonic Additive Systemic Risk Measures

Heyan Wang; Shuo Gong; Yijun Hu

doi:10.3390/axioms13060347

Strong Comonotonic Additive Systemic Risk Measures

Heyan Wang^*
, Shuo Gong
, Yijun Hu

^*Corresponding author for this work

Department of Data Science

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

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Abstract

In this paper, we propose a new class of systemic risk measures, which we refer to as strong comonotonic additive systemic risk measures. First, we introduce the notion of strong comonotonic additive systemic risk measures by proposing new axioms. Second, we establish a structural decomposition for strong comonotonic additive systemic risk measures. Third, when both the single-firm risk measure and the aggregation function in the structural decomposition are convex, we also provide a dual representation for it. Last, examples are given to illustrate the proposed systemic risk measures. Comparisons with existing systemic risk measures are also provided. © 2024 by the authors.

Original language	English
Article number	347
Journal	Axioms
Volume	13
Issue number	6
Online published	23 May 2024
DOIs	https://doi.org/10.3390/axioms13060347
Publication status	Published - Jun 2024

Research Keywords

systemic risk measures
decomposition
dual representation
strong comonotonic additivity

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This full text is made available under CC-BY 4.0. https://creativecommons.org/licenses/by/4.0/

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T1 - Strong Comonotonic Additive Systemic Risk Measures

AU - Wang, Heyan

AU - Gong, Shuo

AU - Hu, Yijun

PY - 2024/6

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N2 - In this paper, we propose a new class of systemic risk measures, which we refer to as strong comonotonic additive systemic risk measures. First, we introduce the notion of strong comonotonic additive systemic risk measures by proposing new axioms. Second, we establish a structural decomposition for strong comonotonic additive systemic risk measures. Third, when both the single-firm risk measure and the aggregation function in the structural decomposition are convex, we also provide a dual representation for it. Last, examples are given to illustrate the proposed systemic risk measures. Comparisons with existing systemic risk measures are also provided. © 2024 by the authors.

AB - In this paper, we propose a new class of systemic risk measures, which we refer to as strong comonotonic additive systemic risk measures. First, we introduce the notion of strong comonotonic additive systemic risk measures by proposing new axioms. Second, we establish a structural decomposition for strong comonotonic additive systemic risk measures. Third, when both the single-firm risk measure and the aggregation function in the structural decomposition are convex, we also provide a dual representation for it. Last, examples are given to illustrate the proposed systemic risk measures. Comparisons with existing systemic risk measures are also provided. © 2024 by the authors.

KW - systemic risk measures

KW - decomposition

KW - dual representation

KW - strong comonotonic additivity

UR - https://www.webofscience.com/wos/woscc/full-record/WOS:001254483200001

U2 - 10.3390/axioms13060347

DO - 10.3390/axioms13060347

M3 - RGC 21 - Publication in refereed journal

SN - 2075-1680

VL - 13

JO - Axioms

JF - Axioms

IS - 6

M1 - 347

ER -

Strong Comonotonic Additive Systemic Risk Measures

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Research Keywords

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