Robust market-adjusted systemic risk measures

Matteo Burzoni, Marco Frittelli and Federico Zorzi

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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.

Date: 2021-03, Revised 2021-08
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2103.02920

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