Robust market-adjusted systemic risk measures
Mathematical Finance
2021-08-19 v2
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.
Cite
@article{arxiv.2103.02920,
title = {Robust market-adjusted systemic risk measures},
author = {Matteo Burzoni and Marco Frittelli and Federico Zorzi},
journal= {arXiv preprint arXiv:2103.02920},
year = {2021}
}