SRISK methodology recently proposed in the literature is refined and extended. The refinement is to define systemic risk using a formalised stress testing framework including a stress function. Baseline risk and the stress risk are in terms of the ordinary and stressed expectation. Stressed...

This paper proposes a framework to analyze mean and distortion risk across layers forming a random loss. Layers are standard insurance and financial constructs representing insurance coverage, capital shortfall, derivative payouts and debt tranches. Layers are expressed using percentiles or...