论文标题
有条件的系统性风险措施
Conditional Systemic Risk Measures
论文作者
论文摘要
我们调查（静态）系统性风险度量的相关特征可以扩展到条件设置。在提供了一般的双重表示结果之后，我们更详细地分析有条件短缺的全身风险度量。在指数偏好的特定情况下，我们提供明确的公式，也使我们可以显示时间一致性属性。最后，我们对与条件短缺的系统风险措施相关的分配提供了一种解释，该分配适当定义。从概念上讲，即使证明变得比无条件的框架更具技术性，从静态到有条件的系统性风险度量的概括也可以实现。
We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended to a conditional setting. After providing a general dual representation result, we analyze in greater detail Conditional Shortfall Systemic Risk Measures. In the particular case of exponential preferences, we provide explicit formulas that also allow us to show a time consistency property. Finally, we provide an interpretation of the allocations associated to Conditional Shortfall Systemic Risk Measures as suitably defined equilibria. Conceptually, the generalization from static to conditional Systemic Risk Measures can be achieved in a natural way, even though the proofs become more technical than in the unconditional framework.
