英文标题：
《Systemic risk measures with markets volatility》
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作者：
Fei Sun, Yijun Hu
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最新提交年份：
2019
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英文摘要：
  As systemic risk has become a hot topic in the financial markets, how to measure, allocate and regulate the systemic risk are becoming especially important. However, the financial markets are becoming more and more complicate, which makes the usual study of systemic risk to be restricted. In this paper, we will study the systemic risk measures on a special space $L^{p(\\cdot)}$ where the variable exponent $p(\\cdot)$ is no longer a given real number like the space $L^{p}$, but a random variable, which reflects the possible volatility of the financial markets. Finally, the dual representation for this new systemic risk measures will be studied. Our results show that every this new systemic risk measure can be decomposed into a convex certain function and a simple-systemic risk measure, which provides a new ideas for dealing with the systemic risk.
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中文摘要：
随着系统性风险成为金融市场的热门话题，如何度量、分配和监管系统性风险显得尤为重要。然而，随着金融市场的日益复杂化，通常对系统性风险的研究受到了限制。在本文中，我们将研究一个特殊空间$L^{p（\\cdot）}$上的系统风险度量，其中变量指数$p（\\cdot）$不再是一个像空间$L^{p}$那样的给定实数，而是一个反映金融市场可能波动的随机变量。最后，将研究这种新的系统性风险度量的双重表示。我们的结果表明，每一个新的系统风险度量都可以分解为一个凸函数和一个简单的系统风险度量，这为处理系统风险提供了新的思路。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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