Some systemic risk indicators

Article type: Research Article

Authors: El Qalli, Yassine^{a; b} | Said, Khalil^a;

Affiliations: [a] National Institute of Statistics and Applied Economics, Rabat, Morocco | [b] Faculty of Governance, Economics and Social Sciences, UM6P, Rabat, Morocco

Correspondence: [*] Corresponding author: Khalil Said. E-mail: ksaid@insea.ac.ma

Abstract: This paper aims to introduce novel systemic risk indicators based on risk allocation methods employed in actuarial science. We present diverse general approaches for constructing these indicators and utilize them to derive indicators based on commonly used risk measures such as Value at Risk, Tail Value at Risk, and Expectiles. Furthermore, we analyze the influence of the dependence structure on the behavior of these indicators using a range of copula models. To support our findings, we provide numerical illustrations.

Keywords: Systemic risk, risk measures, capital allocation, Shapley method, Euler method, VaR, TVaR, expectiles, copulas

DOI: 10.3233/RDA-231521

Journal: Risk and Decision Analysis, vol. 9, no. 2-4, pp. 39-56, 2023