COHERENT PORTFOLIO SEPARATION — INHERENT SYSTEMIC RISK?

2004 ◽  
Vol 07 (07) ◽  
pp. 909-917 ◽  
Author(s):  
NILS CHR. FRAMSTAD
Keyword(s):  
Systemic Risk ◽  
Risk Model ◽  
Risk Measures ◽  
Market Risk ◽  
Separation Property ◽  
Coherent Risk Measures ◽  
Financial Industry ◽  
Coherent Risk ◽  
Quantifying Risk

A stylized market risk model is studied. It turns out that quantifying risk by quantile-VaR, coherent risk measures or other functionals that are positively homogeneous, has a consequence akin to assuming multi-normal returns, namely a two fund separation property. Heuristic arguments indicate that this may be a source of systemic risk to the financial industry.

Systemic Risk, Stress Testing, and Financial Contagion

2013 ◽  
pp. 181-210 ◽  
Author(s):  
Serafin Martinez-Jaramillo ◽  
Calixto Lopez-Castañon ◽  
Fabrizio Lopez-Gallo
Keyword(s):  
Systemic Risk ◽  
Stress Testing ◽  
Risk Measures ◽  
Banking System ◽  
Financial Contagion ◽  
Coherent Risk Measures ◽  
Interbank Market ◽  
Coherent Risk

By using the proposed framework, it is also possible to perform stress testing in a coherent way, including second round effects like contagion through the interbank market. Additionally, it is possible to follow the evolution of certain coherent risk measures, like the CVaR, in order to evaluate if the system is becoming more or less risky, in fact, more or less fragile. Additionally, the authors decompose the distribution of losses of the whole banking system into the systemic and the contagion elements and determine if the system is more prone to experience contagious difficulties during a certain period of time.

scholarly journals Restricted Coherent Risk Measures and Actuarial Solvency

2012 ◽  
Vol 2012 ◽  
pp. 1-18
Author(s):  
Christos E. Kountzakis
Keyword(s):  
Minimization Problem ◽  
Risk Measures ◽  
Insurance Company ◽  
Coherent Risk Measures ◽  
Dual Representation ◽  
Coherent Risk ◽  
Representation Form ◽  
Solvency Capital

We prove a general dual representation form for restricted coherent risk measures, and we apply it to a minimization problem of the required solvency capital for an insurance company.

scholarly journals Rearrangement Invariant, Coherent Risk Measures on L<sup>0</sup>

2015 ◽  
Vol 04 (01) ◽  
pp. 22-25
Author(s):  
Christos E. Kountzakis ◽  
Dimitrios G. Konstantinides
Keyword(s):  
Risk Measures ◽  
Coherent Risk Measures ◽  
Coherent Risk
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