Robust market-adjusted systemic risk measures
| Autor: | Burzoni, Matteo, Frittelli, Marco, Zorzi, Federico |
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| Rok vydání: | 2021 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | 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. |
| Databáze: | arXiv |
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