Bingzhen Geng

Value-at-Risk- and Expectile-Based Systemic Risk Measures and Second-Order Asymptotics: With Applications to Diversification

Abstract. Systemic risk measures play a crucial role in analyzing individual losses conditional on extreme system-wide disasters. In this paper, we provide a unified asymptotic treatment for systemic risk measures. First, we classify them into two families of Value-at-Risk- (VaR-...