Data di Pubblicazione:
2021
Citazione:
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]
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.
Tipologia IRIS:
01 - Articolo su periodico
Keywords:
systemic risk measures, robust risk measures, market-adjusted risk measures
Elenco autori:
M. Burzoni, M. Frittelli, F. Zorzi
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