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Article

Strong Comonotonic Additive Systemic Risk Measures

1
School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China
2
School of Data Science, City University of Hong Kong, Hong Kong 999077, China
*
Author to whom correspondence should be addressed.
Axioms 2024, 13(6), 347; https://doi.org/10.3390/axioms13060347
Submission received: 28 March 2024 / Revised: 8 May 2024 / Accepted: 19 May 2024 / Published: 23 May 2024
(This article belongs to the Special Issue Advances in Financial Mathematics)

Abstract

In this paper, we propose a new class of systemic risk measures, which we refer to as strong comonotonic additive systemic risk measures. First, we introduce the notion of strong comonotonic additive systemic risk measures by proposing new axioms. Second, we establish a structural decomposition for strong comonotonic additive systemic risk measures. Third, when both the single-firm risk measure and the aggregation function in the structural decomposition are convex, we also provide a dual representation for it. Last, examples are given to illustrate the proposed systemic risk measures. Comparisons with existing systemic risk measures are also provided.
Keywords: systemic risk measures; decomposition; dual representation; strong comonotonic additivity systemic risk measures; decomposition; dual representation; strong comonotonic additivity

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MDPI and ACS Style

Wang, H.; Gong, S.; Hu, Y. Strong Comonotonic Additive Systemic Risk Measures. Axioms 2024, 13, 347. https://doi.org/10.3390/axioms13060347

AMA Style

Wang H, Gong S, Hu Y. Strong Comonotonic Additive Systemic Risk Measures. Axioms. 2024; 13(6):347. https://doi.org/10.3390/axioms13060347

Chicago/Turabian Style

Wang, Heyan, Shuo Gong, and Yijun Hu. 2024. "Strong Comonotonic Additive Systemic Risk Measures" Axioms 13, no. 6: 347. https://doi.org/10.3390/axioms13060347

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