Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/288396 
Year of Publication: 
2020
Citation: 
[Journal:] Finance and Stochastics [ISSN:] 1432-1122 [Volume:] 24 [Issue:] 2 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2020 [Pages:] 513-564
Publisher: 
Springer, Berlin, Heidelberg
Abstract: 
In our previous paper “A unified approach to systemic risk measures via acceptance sets” (Mathematical Finance, 2018), we have introduced a general class of systemic risk measures that allow random allocations to individual banks before aggregation of their risks. In the present paper, we prove a dual representation of a particular subclass of such systemic risk measures and the existence and uniqueness of the optimal allocation related to them. We also introduce an associated utility maximisation problem which has the same solution as the minimisation problem associated to the systemic risk measure. In addition, the optimiser in the dual formulation provides a risk allocation which is fair from the point of view of the individual financial institutions. The case with exponential utilities which allows explicit computation is treated in detail.
Subjects: 
Systemic risk measures
Random allocations
Risk allocation
Fairness
JEL: 
A99
B30
G10
D99
C690
G1
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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