In this note we consider a system of financial institutions and study systemic risk measures in the presence of a financial market and in a robust setting, namely, where no reference probability is assigned. We obtain a dual representation for convex robust systemic risk measures adjusted to the financial market and show its relation to some appropriate no-arbitrage conditions.
Short Communication: Robust Market-Adjusted Systemic Risk Measures / M. Burzoni, M. Frittelli, F. Zorzi. - In: SIAM JOURNAL ON FINANCIAL MATHEMATICS. - ISSN 1945-497X. - 12:3(2021), pp. SC70-SC82. [10.1137/21M1401723]
Short Communication: Robust Market-Adjusted Systemic Risk Measures
M. BurzoniPrimo
;M. Frittelli
Secondo
;
2021
Abstract
In this note we consider a system of financial institutions and study systemic risk measures in the presence of a financial market and in a robust setting, namely, where no reference probability is assigned. We obtain a dual representation for convex robust systemic risk measures adjusted to the financial market and show its relation to some appropriate no-arbitrage conditions.File in questo prodotto:
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