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Quantifying Systemic Risk: Conditional Interval Risk Measures and Their Applications

Published online by Cambridge University Press:  18 November 2025

Limin Wen Open the ORCID record for Limin Wen [Opens in a new window] ,
Junxue Li  and
Yi Zhang
Limin Wen*
Affiliation:
School of Digital Economy Industry, Guangzhou College of Commerce, Guangzhou, 511363, China
Junxue Li
Affiliation:
Research Center of Management Science and Engineering, Jiangxi Normal University, Nanchang, 330022, China
Yi Zhang
Affiliation:
School of Economics and Management, Jiangxi Normal University, Nanchang, 330022, China
*
Corresponding author: Wen Limin; Email: lmwen2929@163.com
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Abstract

Assessing systemic risk presents a significant challenge in finance and insurance, where conditional risk measures are essential for capturing contagion effects. This paper introduces two novel systemic risk measures – conditional interval value-at-risk (CoIVaR) and conditional interval expected shortfall (CoIES) – which extend traditional metrics by incorporating interval-based uncertainty. A formal theoretical framework is developed for both measures, offering a detailed characterization of their key properties and risk contributions. We then propose a comprehensive comparison methodology for systemic risk assessment, leveraging stochastic orders, dependence structures, and marginal distributions to establish conditions for ranking risk vectors. Finally, through numerical experiments and real-world stock market applications, we demonstrate the practical utility of CoIVaR and CoIES in quantifying systemic risk under uncertainty. The findings provide valuable insights into systemic risk propagation and establish a robust foundation for risk management in interconnected financial systems.

Keywords

Systemic riskconditional interval value-at-riskconditional interval expected shortfallrisk contribution measuresstochastic orderstock market

Information

Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , First View , pp. 1 - 25
Copyright
© The Author(s), 2025. Published by Cambridge University Press on behalf of The International Actuarial Association

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