"Conditional Systemic Risk Measures and related equilibrium concepts" by Alessandro Doldi (University of Milano)

Event Date: 

Monday, October 31, 2022 - 3:30pm to 4:30pm

Event Location: 

  • Sobel room (SH 5607F)

We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended to a conditional setting. After providing a general dual representation result, we analyze in greater detail Conditional Shortfall Systemic Risk Measures. In the particular case of exponential preferences, we provide explicit formulas that also allow us to show a time consistency property. Finally, we provide an interpretation of the allocations associated to Conditional Shortfall Systemic Risk Measures as suitably defined equilibria.