Affiliation:
1. School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China
2. School of Data Science, City University of Hong Kong, Hong Kong 999077, China
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.
Funder
the National Natural Science Foundation of China grant