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Robust market-adjusted systemic risk measures
Published 4 Mar 2021 in q-fin.MF | (2103.02920v2)
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.
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