49 citations · 51 across the 6 of their papers we have counts for
11 papers
Dual representations for systemic risk measures based on acceptance sets
Maria Arduca, Pablo Koch-Medina, Cosimo Munari
We establish dual representations for systemic risk measures based on acceptance sets in a general setting. We deal with systemic risk measures of both "first allocate, then aggreg…
Law-invariant functionals on general spaces of random variables
Fabio Bellini, Pablo Koch-Medina, Cosimo Munari +1
We establish general versions of a variety of results for quasiconvex, lower-semicontinuous, and law-invariant functionals. Our results extend well-known results from the literatur…
A simple characterization of tightness for convex solid sets of positive random variables
Pablo Koch-Medina, Cosimo Munari, Mario Šikić
We show that for a convex solid set of positive random variables to be tight, or equivalently bounded in probability, it is necessary and sufficient that it is radially bounded, i.…
Existence, uniqueness and stability of optimal portfolios of eligible assets
Michel Baes, Pablo Koch-Medina, Cosimo Munari
In a capital adequacy framework, risk measures are used to determine the minimal amount of capital that a financial institution has to raise and invest in a portfolio of pre-specif…
Which eligible assets are compatible with comonotonic capital requirements?
Pablo Koch-Medina, Cosimo Munari, Gregor Svindland
Within the context of capital adequacy, we study comonotonicity of risk measures in terms of the primitives of the theory: acceptance sets and eligible, or reference, assets. We sh…
Diversification, protection of liability holders and regulatory arbitrage
Pablo Koch-Medina, Cosimo Munari, Mario Sikic
Any solvency regime for financial institutions should be aligned with the fundamental objectives of regulation: protecting liability holders and securing the stability of the finan…
Capital adequacy tests and limited liability of financial institutions
Pablo Koch-Medina, Santiago Moreno-Bromberg, Cosimo Munari
The theory of acceptance sets and their associated risk measures plays a key role in the design of capital adequacy tests. The objective of this paper is to investigate, in the con…
Law-invariant risk measures: extension properties and qualitative robustness
Pablo Koch-Medina, Cosimo Munari
We characterize when a convex risk measure associated to a law-invariant acceptance set in can be extended to , , preserving finiteness and continui…
Measuring risk with multiple eligible assets
Walter Farkas, Pablo Koch-Medina, Cosimo Munari
The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability…
Beyond cash-additive risk measures: when changing the numéraire fails
Walter Farkas, Pablo Koch-Medina, Cosimo Munari
We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately c…
Capital requirements with defaultable securities
Walter Farkas, Pablo Koch-Medina, Cosimo Munari
We study capital requirements for bounded financial positions defined as the minimum amount of capital to invest in a chosen eligible asset targeting a pre-specified acceptability…