Quantifying Systemic Risk : conditional Interval Risk Measures and Their Applications

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      <subfield code="a">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</subfield>
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