28-31 August 2018
Angers - France
Europe/Paris timezone

On Fairness of Systemic Risk Measures

30 Aug 2018, 08:30
Angers - France

Angers - France


Prof. Marco Frittelli (Milano University)


In our previous paper, we have introduced a general class of systemic risk measures that allow random allocations to individual banks before aggregation of their risks. In the present paper, we address the question of fairness of these allocations and we propose a fair allocation of the total risk to individual banks. We show that the dual problem of the minimization problem which identify the systemic risk measure, provides a valuation of the random allocations which is fair both from the point of view of the society/regulator and from the individual financial institutions. The case with exponential utilities which allows for explicit computation is treated in details.

Primary author

Prof. Marco Frittelli (Milano University)

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