MathFinance Colloquium: Thilo Meyer-Brandis
Speaker: Thilo Meyer-Brandis, University of Munich
Title: Risk-Consistent Conditional Systemic Risk Measures
Abstract: In this paper we provide an axiomatic approach to the class of risk-consistent conditional systemic risk measures. This class consists of multivariate conditional risk measures which can be decomposed into a conditional aggregation function and a conditional univariate risk measure. The axiomatic characterization for this class of decomposable systemic risk measures was introduced by Chen et. al. (2013) for a finite probability space and in an unconditional framework. We extent this characterization in different ways. We allow for a more general probability space and extend the framework to a conditional setting. Furthermore we reduce/generalize the required properties of systemic risk measures in order to allow for a more flexible structure. We will conclude by looking at some concrete systemic risk measures in a simulation study.