In view of the recent financial crisis systemic risk has become a very important research object. It is of significant importance to understand what can be done from a regulatory point of view to make the financial system more resilient to global crises. Systemic risk measures can provide more...

In this short paper we provide a new representation result for dynamic capital allocations and dynamic convex risk measures that are based on backward stochastic differential equations. We derive this representation from a classical differentiability result for backward stochastic differential...

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)...