26 citations · 157 across the 57 of their papers we have counts for
Showing 2017 · q-fin.RMShow all
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q-fin.RM2017
Optimizing S-shaped utility and implications for risk management
John Armstrong, Damiano Brigo
We consider market players with tail-risk-seeking behaviour as exemplified by the S-shaped utility introduced by Kahneman and Tversky. We argue that risk measures such as value at…
q-fin.RM2017
An indifference approach to the cost of capital constraints: KVA and beyond
Damiano Brigo, Marco Francischello, Andrea Pallavicini
The strengthening of capital requirements has induced banks and traders to consider charging a so called capital valuation adjustment (KVA) to the clients in OTC transactions. This…