49 citations · 57 across the 17 of their papers we have counts for
25 papers
Risk, utility and sensitivity to large losses
Martin Herdegen, Nazem Khan, Cosimo Munari
Risk and utility functionals are fundamental building blocks in economics and finance. In this paper we investigate under which conditions a risk or utility functional is sensitive…
An elementary proof of the dual representation of Expected Shortfall
Martin Herdegen, Cosimo Munari
We provide an elementary proof of the dual representation of Expected Shortfall on the space of integrable random variables over a general probability space. Unlike the results in…
Robust portfolio selection under Recovery Average Value at Risk
Cosimo Munari, Justin Plückebaum, Stefan Weber
We study mean-risk optimal portfolio problems where risk is measured by Recovery Average Value at Risk, a prominent example in the class of recovery risk measures. We establish exi…
Risk measures beyond frictionless markets
Maria Arduca, Cosimo Munari
We develop a general theory of risk measures that determines the optimal amount of capital to raise and invest in a portfolio of reference traded securities in order to meet a pre-…
Capital Requirements and Claims Recovery: A New Perspective on Solvency Regulation
Cosimo Munari, Lutz Wilhelmy, Stefan Weber
Protection of creditors is a key objective of financial regulation. Where the protection needs are high, i.e., in banking and insurance, regulatory solvency requirements are an ins…
Law-invariant functionals that collapse to the mean: Beyond convexity
Felix-Benedikt Liebrich, Cosimo Munari
We establish general "collapse to the mean" principles that provide conditions under which a law-invariant functional reduces to an expectation. In the convex setting, we retrieve…