Strong Comonotonic Additive Systemic Risk Measures

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-05-23 DOI:10.3390/axioms13060347

Heyan Wang, Shuo Gong, Yijun Hu

引用次数: 0

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.

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强同调相加系统性风险措施

在本文中，我们提出了一类新的系统性风险度量，我们称之为强协约加性系统性风险度量。首先，我们通过提出新的公理来引入强协约加性系统风险度量的概念。其次，我们建立了强协约加性系统风险度量的结构分解。第三，当结构分解中的单一企业风险度量和聚集函数都是凸函数时，我们还为其提供了对偶表示。最后，我们举例说明了所提出的系统风险度量方法。我们还提供了与现有系统性风险度量的比较。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.