Dynamic Systemic Risk Measures for Bounded Discrete-Time Processes

The question of measuring and managing systemic risk - especially in view of the recent financial crises - became more and more important. We study systemic risk by taking the perspective of a financial regulator and considering the axiomatic approach originally introduced in Chen et al. (2013) and extended in Kromer et al. (2014). The aim of this paper is to generalize the static approach in Kromer et al. (2014) and analyze systemic risk measures in a dynamic setting. We work in the framework of Cheridito et al. (2006) who consider risk measures for bounded discrete-time processes. Apart from the possibility to consider the “evolution of financial values”, another important advantage of the dynamic approach is the possibility to incorporate information in the risk measurement and management process. In context of this dynamic setting we also discuss the arising question of time-consistency for our dynamic systemic risk measures