Short Communication: Robust Market-Adjusted Systemic Risk Measures

DOI10.1137/21M1401723zbMath1476.91208arXiv2103.02920OpenAlexW3201352004MaRDI QIDQ5162851

Federico Zorzi, Matteo Burzoni, Marco Frittelli

Publication date: 5 November 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.02920

zbMATH Keywords

systemic risk measuresrobust risk measuresmarket-adjusted risk measures

Mathematics Subject Classification ID

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

Uses Software

• QRM

Cites Work

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• Systemic risk measures on general measurable spaces
• Dual representations for systemic risk measures based on acceptance sets
• Dual representations for systemic risk measures
• On fairness of systemic risk measures
• Coherent Measures of Risk
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• Measures of Systemic Risk
• Duality Formulas for Robust Pricing and Hedging in Discrete Time
• Multivariate Shortfall Risk Allocation and Systemic Risk
• A unified approach to systemic risk measures via acceptance sets
• Stochastic finance. An introduction in discrete time

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