Title: Measuring systemic risk: a model uncertainty approach by \u00c7a\u011f\u0131n Ararat Department of Industrial Engineering, Bilkent University<\/p>\n
Abstract:<\/p>\n
Systemic risk is concerned with the failure of an interconnected system as a consequence of the actions of its components. In the event of a financial crisis, it becomes important to measure and allocate the systemic risk of a network of financial institutions. In this talk, we will focus on a recent ultivariate approach for measuring systemic risk where the state of the financial network is modeled as a random vector of individual equities\/losses. Then, the systemic risk measure is defined as the set of all capital allocation vectors that make the \u201cimpact of the system to the society\u201d acceptable. We present a dual representation theorem for systemic risk measures and provide a \u201cmodel uncertainty\u201d and \u201cweight ambiguity\u201d interpretation of the dual variables. As a special case, we will consider a financial system with exponential aggregation mechanism, where the distances of the financial institutions with respect to the society are measured in terms of relative entropies.<\/p>\n","protected":false},"excerpt":{"rendered":"
Title: Measuring systemic risk: a model uncertainty approach by \u00c7a\u011f\u0131n Ararat Department of Industrial Engineering, Bilkent University Abstract: Systemic risk is concerned with the failure of an interconnected system as a consequence of the actions of its components. In the event of a financial crisis, it becomes important to measure [\u2026] <\/p>\n