We propose a class of distortion measures based on contagion from an external ‘‘scenario’’ variable. The dependence between the scenario and the variable whose risk is measured is modeled with a copula function with horizontal concave sections. Special cases are the perfect dependence copula, which generates expected shortfall, the Marshall–Olkin family and the Placket family. As an application, we evaluate distortion measures bank liabilities with respect to a country risk scenario in the current European debt crisis.

Contagion-based distortion risk measures

CHERUBINI, UMBERTO;MULINACCI, SABRINA
2014

Abstract

We propose a class of distortion measures based on contagion from an external ‘‘scenario’’ variable. The dependence between the scenario and the variable whose risk is measured is modeled with a copula function with horizontal concave sections. Special cases are the perfect dependence copula, which generates expected shortfall, the Marshall–Olkin family and the Placket family. As an application, we evaluate distortion measures bank liabilities with respect to a country risk scenario in the current European debt crisis.
2014
Umberto Cherubini; Sabrina Mulinacci
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/191931
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