Centro de Documentacion de Fundación MAPFRE - Systemic risk : an asymptotic evaluation

MAP20180022562

Systemic risk : an asymptotic evaluation / Alexandru V. Asimit, Jinzhu Li

Sumario: Systemic risk (SR) has been shown to play an important role in explaining the financial turmoils in the last several decades and understanding this source of risk has been a particular interest amongst academics, practitioners and regulators. The precise mathematical formulation of SR is still scrutinised, but the main purpose is to evaluate the financial distress of a system as a result of the failure of one component of the financial system in question. Many of the mathematical definitions of SR are based on evaluating expectations in extreme regions and therefore, Extreme Value Theory (EVT) represents the key ingredient in producing valuable estimates of SR and even its decomposition per individual components of the entire system. Without doubt, the prescribed dependence model amongst the system components has a major impact over our asymptotic approximations. Thus, this paper considers various well-known dependence models in the EVT literature that allow us to generate SR estimates. Our findings reveal that SR has a significant impact under asymptotic dependence, while weak tail dependence, known as asymptotic independence, produces an insignificant loss over the regulatory capital

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/05/2018 Volumen 48 Número 2 - mayo 2018 , p. 673-698

1. Riesgo sistémico . 2. Cálculo actuarial . 3. Análisis de riesgos . 4. Teoría del valor extremo . 5. Evaluación de riesgos . 6. Modelos actuariales . 7. Matemática del seguro . I. Li, J. . II. Título.