Asymptotics of systemic expected shortfall for QAI primary variables with heavy tails

Abstract

The paper considers the asymptotics of systemic expected shortfall in systemic risk. The individual losses we mainly considered are the products of primary variables and random weights. When the primary variables and random weights are independent, and there is a dependence structure called quasi-asymptotically independence structure among the primary variables, we get the asymptotics of systemic expected shortfall of individual losses for the primary variables having the consistently varying-tailed distributions.