Emanuela Rosazza Gianin: Are Shortfall Systemic Risk Measures One Dimensional?

Abstract

In this talk we show that shortfall systemic (multivariate) risk measures \(\rho\) defined through an \(N\)-dimensional multivariate utility function \(U\) and random allocations can be represented as classical (one dimensional) shortfall risk measures associated to an explicitly determined \(1\)-dimensional function constructed from \(U\). The study of several properties of shortfall systemic (multivariate) risk measures \(\rho\), such as law invariance and a Law of Large Numbers-type result, is then simplified by applying the findings above.

Joint work with Alessandro Doldi and Marco Frittelli.