Systemic risk and copula models

Pflug, G. ORCID: & Pichler, A. (2018). Systemic risk and copula models. Central European Journal of Operations Research 26 (2) 465-483. 10.1007/s10100-018-0525-z.

Full text not available from this repository.


Systemic risk describes the phenomenon that dependency adds a specific component of risk to a system or network of (financial) institutions as a whole, which would not be present if the institutions were independent from each other. This paper introduces the concept of systemic risk measures. We describe and study its behavior as a function of the copula, which represents the loss variables of the institutions in the network. Further, we define stochastic order relations on copulas and relate them with systemic risk measures.

Item Type: Article
Uncontrolled Keywords: Risk measures; Convex order relations; Stochastic dominance; Copula
Research Programs: Risk & Resilience (RISK)
Depositing User: Romeo Molina
Date Deposited: 14 Feb 2018 08:47
Last Modified: 27 Aug 2021 17:29

Actions (login required)

View Item View Item