Seminar series
Date
Thu, 16 Jun 2016
Time
16:00 - 17:30
Location
L5
Speaker
Hans Föllmer
Organisation
Humboldt Universität zu Berlin

We focus on the mathematical structure of systemic risk measures as proposed by Chen, Iyengar, and Moallemi (2013). In order to clarify the interplay between local and global risk assessment, we study the local specification of a systemic risk measure by a consistent family of conditional risk measures for smaller subsystems, and we discuss the appearance of phase transitions at the global level. This extends the analysis of spatial risk measures in Föllmer and Klϋppelberg (2015).

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