49 citations · 66 across the 5 of their papers we have counts for
3 papers · 1 filter
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…