{"title":"Some systemic risk indicators","authors":"Yassine El Qalli, Khalil Said","doi":"10.3233/rda-231521","DOIUrl":null,"url":null,"abstract":"This paper aims to introduce novel systemic risk indicators based on risk allocation methods employed in actuarial science. We present diverse general approaches for constructing these indicators and utilize them to derive indicators based on commonly used risk measures such as Value at Risk, Tail Value at Risk, and Expectiles. Furthermore, we analyze the influence of the dependence structure on the behavior of these indicators using a range of copula models. To support our findings, we provide numerical illustrations.","PeriodicalId":38805,"journal":{"name":"Risk and Decision Analysis","volume":"38 2","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Risk and Decision Analysis","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3233/rda-231521","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
引用次数: 1
Abstract
This paper aims to introduce novel systemic risk indicators based on risk allocation methods employed in actuarial science. We present diverse general approaches for constructing these indicators and utilize them to derive indicators based on commonly used risk measures such as Value at Risk, Tail Value at Risk, and Expectiles. Furthermore, we analyze the influence of the dependence structure on the behavior of these indicators using a range of copula models. To support our findings, we provide numerical illustrations.
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