Are Shortfall Systemic Risk Measures One Dimensional?

2023/06/19 by Doldi, Alessandro, Frittelli, Marco, Gianin, Emanuela Rosazza · 1 citation
#FOS: Economics and business #Mathematical Finance (q-fin.MF)

paper · doi:10.48550/arxiv.2306.10752

Abstract

Shortfall systemic (multivariate) risk measures ρ defined through an N-dimensional multivariate utility function U and random allocations can be represented as classical (one dimensional) shortfall risk measures associated to an explicitly determined 1-dimensional function constructed from U. This finding allows for simplifying the study of several properties of ρ, such as dual representations, law invariance and stability.

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