49 citations · 57 across the 17 of their papers we have counts for
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q-fin.RM2012★ 49 cited
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…
q-fin.RM2012
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…