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Quantifying Systemic Risk : conditional Interval Risk Measures and Their Applications
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MAP20260002033
Wen, Limin ‌
Quantifying Systemic Risk : conditional Interval Risk Measures and Their Applications / Limin Wen, Junxue Li and Yi Zhang
Sumario: This paper introduces two systemic risk measuresCoIVaR and CoIESthat extend traditional conditional risk metrics by conditioning on quantile intervals to better capture uncertainty and contagion effects. A comprehensive theoretical framework is developed, including key properties and risk contribution measures, along with comparison results based on stochastic orders and dependence structures. Numerical experiments and stock market applications demonstrate that these interval-based measures provide robust and practical tools for assessing systemic risk in interconnected financial systems
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 19/01/2026 Volume 56 Issue 1 - January 2026 , p. 181 - 205
1. Riesgo sistémico ‌. 2. Modelo estocástico ‌. 3. Gestión de riesgos ‌. 4. Datos financieros ‌. 5. Matemática del seguro ‌. 6. Cálculo actuarial ‌. I. Li, Junxue ‌. II. Zhang, Yi ‌. III. International Actuarial Association ‌. IV. Título.