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Short communication: Robust market-adjusted systemic risk measures. (English) Zbl 1476.91208

Summary: 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.

MSC:

91G45 Financial networks (including contagion, systemic risk, regulation)
91G70 Statistical methods; risk measures

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References:

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