Wednesday, April 18, 2018 - 16:00 in V2-213
On Fairness of Systemic Risk Measures
A talk in the Bielefeld Stochastic Afternoon series by
Marco Frittelli from University of Milan
| Abstract: |
In a previous paper, 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 address the question of fairness of these allocations and
we propose a fair allocation of the total risk to individual banks.
We show that the dual problem of the minimization problem which identify the systemic risk measure,
provides a valuation of the random allocations which is fair both from the point of
view of the society/regulator and from the individual financial institutions.
The case with exponential utilities which allows for explicit computation is treated in details.
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