Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1708027 | Applied Mathematics Letters | 2014 | 5 Pages |
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.
Related Topics
Physical Sciences and Engineering
Engineering
Computational Mechanics
Authors
Umberto Cherubini, Sabrina Mulinacci,