Authors: Klüppelberg, Claudia
Seifert, Miriam Isabel
Title: Financial risk measures for a network of individual agents holding portfolios of lighttailed objects
Language (ISO): en
Abstract: We investigate a financial network of agents holding portfolios of independent light-tailed risky objects whose losses are asymptotically exponentially distributed with distinct tail parameters. We show that the asymptotic distributions of portfolio losses belong to the class of functional exponential mixtures which we introduce in this paper. We also provide statements for Value-at-Risk and Expected Shortfall risk measures as well as for their conditional counterparts. Compared to heavy tail settings we establish important qualitative differences in the asymptotic behavior of portfolio risks under a light tail assumption which have to be accounted for in practical risk management.
Subject Headings: asymptotic exponential distribution
risk management
financial network
expected shortfall
Issue Date: 2019
Appears in Collections:Sonderforschungsbereich (SFB) 823

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