In our previous paper \mbox{%DIFAUXCMD BFFMB , we have introduced a general class of systemic risk measures that allow random allocations to individual banks before aggregation of their risks. In the present paper, we address the question of fairness of these allocations and we propose a fair allocation of the total risk to individual banks. We show that the dual problem of the minimization problem which identify the systemic risk measure , provides a valuation of the random allocations  which is fair both from the point of view of the society/regulator and from the individual financial institutions. The case with exponential utilities which allows for explicit computation is treated in details.
In our previous paper "A Unified Approach to Systemic Risk Measures via Acceptance Set" , we have introduced a general class of systemic risk measures that allow random allocations to individual banks before aggregation of their risks. In the present paper, we address the question of fairness of these allocations and propose a fair allocation of the total risk to individual banks. We show that the dual formulation of the minimization problem identifying the systemic risk measure provides a valuation of the random allocations , which is fair both from the point of view of the society/regulator and from the individual financial institutions. The case with exponential utilities which allows for explicit computation is treated in details.
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\mbox{%DIFAUXCMD BFFMB
"A Unified Approach to Systemic Risk Measures via Acceptance Set"
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problem
formulation
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which identify
identifying
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,
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