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q-fin.MF2015
Financial market models in discrete time beyond the concave case
Mario Sikic
In this article we propose a study of market models starting from a set of axioms, as one does in the case of risk measures. We define a market model simply as a mapping from the s…
q-fin.RM2015
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…