Set-valued intrinsic measures of systemic risk

In recent years, it has become apparent that an isolated microprudential approach to capital adequacy requirements of individual institutions is insufficient. It can increase the homogeneity of the financial system and ultimately the cost to society. For this reason, the focus of the financial and mathematical literature has shifted towards the macroprudential regulation of the financial network as a whole. In particular, systemic risk measures have been discussed as a risk measurement and mitig...