2021/03/04 by Matteo Burzoni, Burzoni, Matteo, Marco Frittelli +3
Decision Sciences · Economics, Econometrics and Finance · #46A20 #91G45 #FOS: Economics and business #Insurance and Financial Risk Management #Mathematical Finance (q-fin.MF) #Risk and Portfolio Optimization #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2103.02920
openalex publication_date 2021/03/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.