Abstract The general consensus on the need to enhance resilience of financial system has led imposition higher capital requirements for certain institutions, supposedly based their contribution systemic risk. Global Systemically Important Banks (G-SIBs) are divided into buckets required additional buffers ranging from 1% 3.5%. We measure marginal risk 26 G-SIBs using Distressed Insurance Premiu...

In this paper we introduce convex imprecise previsions as a special class of imprecise previsions, showing that they retain or generalise most of the relevant properties of coherent imprecise previsions but are not necessarily positively homogeneous. The broader class of weakly convex imprecise previsions is also studied and its fundamental properties are demonstrated. The notions of weak conve...