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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/1812.06185 |
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| _version_ | 1866908848933044224 |
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| author | Sun, Fei Zhou, Jieming |
| author_facet | Sun, Fei Zhou, Jieming |
| contents | Systemic risk measures are crucial for the stability of financial markets, yet classical formulations fail to capture the complexity of market volatility. We propose a new framework for systemic risk measurement on the variable-exponent Bochner-Lebesgue space $L^{p(\cdot)}$, where the exponent $p(\cdot)$ is a random variable rather than a deterministic constant parameter, thereby inherently encoding latent market volatility. By constructing suitable deterministic auxiliary functions and single-firm risk measures, we decompose the quantification of systemic risk in $L^{p(\cdot)}$ into two sequential steps, ultimately deriving its dual representations. Several examples are provided to illustrate the theoretical results. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1812_06185 |
| institution | arXiv |
| publishDate | 2018 |
| record_format | arxiv |
| spellingShingle | Systemic risk measures with markets volatility Sun, Fei Zhou, Jieming Risk Management Systemic risk measures are crucial for the stability of financial markets, yet classical formulations fail to capture the complexity of market volatility. We propose a new framework for systemic risk measurement on the variable-exponent Bochner-Lebesgue space $L^{p(\cdot)}$, where the exponent $p(\cdot)$ is a random variable rather than a deterministic constant parameter, thereby inherently encoding latent market volatility. By constructing suitable deterministic auxiliary functions and single-firm risk measures, we decompose the quantification of systemic risk in $L^{p(\cdot)}$ into two sequential steps, ultimately deriving its dual representations. Several examples are provided to illustrate the theoretical results. |
| title | Systemic risk measures with markets volatility |
| topic | Risk Management |
| url | https://arxiv.org/abs/1812.06185 |