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Dual representations for systemic risk measures based on acceptance sets

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Abstract

We establish dual representations for systemic risk measures based on acceptance sets in a general setting. We deal with systemic risk measures of both “first allocate, then aggregate” and “first aggregate, then allocate” type. In both cases, we provide a detailed analysis of the corresponding systemic acceptance sets and their support functions. The same approach delivers a simple and self-contained proof of the dual representation of utility-based risk measures for univariate positions.

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Correspondence to Pablo Koch-Medina.

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Arduca, M., Koch-Medina, P. & Munari, C. Dual representations for systemic risk measures based on acceptance sets. Math Finan Econ 15, 155–184 (2021). https://doi.org/10.1007/s11579-019-00250-0

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