Special Issue "Systemic Risk in Finance and Insurance"
A special issue of Risks (ISSN 2227-9091).
Deadline for manuscript submissions: closed (31 December 2019).
Interests: optimal investment and pricing in incomplete markets; equilibrium pricing of non-tradable risks; optimal portfolio selection with regulatory constraints; time consistent portfolio management; prospect theory
Financial regulations usually deal with limiting the risk of institutions, focusing mostly on idiosyncratic components while underestimating the systemic risk, which, in turn, may lead to financial crises. During a financial crisis, there are societal costs due to bailouts of failing banks, and economies tend to undercapitalize leading to financial contagion through banking-correlated networks. Thus, it appears only natural to come up with realistic measures for systemic risk to reduce the costs of financial crises or to prevent them in the first place. One such a measure of systemic risk is the systemic expected shortfall (SES) proposed by Acharya, Pedersen, Philippon, and Richardson (2017). SES is the expected amount by which a bank is undercapitalized in a global financial crisis scenario. Scenario risk measurements, developed by Larsen, Pirvu, Shreve, and Tutuncu (2005), may be also employed in quantifying systemic risk. The risk return optimization, which banks and insurance companies undertake, may be then considered within a paradigm that sets limits to their SES or other systemic risk measures.
Prof. Dr. Traian A Pirvu
Manuscript Submission Information
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- Measures of systemic risk
- Systemic expected shortfall
- Market scenarios analysis of financial crisis
- Risk return optimization via systemic risk