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. Burzoni
Primo
;
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.
systemic risk measures, robust risk measures, market-adjusted risk measures
Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
Settore MAT/06 - Probabilita' e Statistica Matematica
2021
https://epubs.siam.org/doi/pdf/10.1137/21M1401723
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/869774
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