Journal article

Publication year: 2019

Pages: 77-108

Journal: Mathematical Methods of Operations Research

Volume number: 90

Issue number: 1

ISSN: 1432-2994

eISSN: 1432-5217

DOI Link: https://doi.org/10.1007/s00186-018-0655-z

Publisher: Springer

Abstract: 
The question of measuring and managing systemic risk-especially in view of the recent financial crisis-became more and more important. We study systemic risk by taking the perspective of a financial regulator and considering the axiomatic approach originally introduced in Chen et al. (Manag Sci 59(6):1373-1388, 2013) and extended in Kromer et al. (Math Methods Oper Res 84:323-357, 2016). The aim of this paper is to generalize the static approach in Kromer et al. (2016) and analyze systemic risk measures in a dynamic setting. We work in the framework of Cheridito et al. (Electron J Probab 11:57-106, 2006) who consider risk measures for bounded discrete-time processes. Apart from the possibility to consider the "evolution of financial values", another important advantage of the dynamic approach is the possibility to incorporate information in the risk measurement and management process. In context of this dynamic setting we also discuss the arising question of time-consistency for our dynamic systemic risk measures.

Harvard Citation style: Kromer, E., Overbeck, L. and Zilch, K. (2019) Dynamic systemic risk measures for bounded discrete time processes, Mathematical Methods of Operations Research, 90(1), pp. 77-108. https://doi.org/10.1007/s00186-018-0655-z

APA Citation style: Kromer, E., Overbeck, L., & Zilch, K. (2019). Dynamic systemic risk measures for bounded discrete time processes. Mathematical Methods of Operations Research. 90(1), 77-108. https://doi.org/10.1007/s00186-018-0655-z