Systemic risk components and deposit insurance premia

DOI10.1080/14697688.2012.664942zbMath1278.91088OpenAlexW3124760992MaRDI QIDQ2873037

Jeremy Staum

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.664942

zbMATH Keywords

cost allocationdeposit insurancesystemic riskrisk attributionrisk allocationrisk components

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

Rollover risk and endogenous network dynamics

Cites Work

• Coherent risk measures, coherent capital allocations and the gradient allocation principle
• Polynomial calculation of the Shapley value based on sampling
• To split or not to split: Capital allocation with convex risk measures
• Axiomatizations of game theoretical solutions for one-output cost sharing problems
• Incentives, Decentralized Control, the Assignment of Joint Costs and Internal Pricing
• ON TWO APPROACHES TO COHERENT RISK CONTRIBUTION
• Systemic Risk in Financial Systems
• Risk Assessment for Banking Systems
• Demand Compatible Equitable Cost Sharing Prices
• Allocation of Shared Costs: A Set of Axioms Yielding A Unique Procedure

This page was built for publication: Systemic risk components and deposit insurance premia