Quantifying Systemic Risk : conditional Interval Risk Measures and Their Applications

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<dc:creator>Wen, Limin</dc:creator>
<dc:creator>Li, Junxue</dc:creator>
<dc:creator>Zhang, Yi</dc:creator>
<dc:creator>International Actuarial Association</dc:creator>
<dc:date>2026-01-15</dc:date>
<dc:description xml:lang="es">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</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/189431.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Riesgo sistémico</dc:subject>
<dc:subject xml:lang="es">Modelo estocástico</dc:subject>
<dc:subject xml:lang="es">Gestión de riesgos</dc:subject>
<dc:subject xml:lang="es">Datos financieros</dc:subject>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Quantifying Systemic Risk : conditional Interval Risk Measures and Their Applications</dc:title>
<dc:relation xml:lang="es">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</dc:relation>
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