49 citations · 57 across the 17 of their papers we have counts for
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q-fin.RM2014
Capital adequacy tests and limited liability of financial institutions
Pablo Koch-Medina, Santiago Moreno-Bromberg, Cosimo Munari
The theory of acceptance sets and their associated risk measures plays a key role in the design of capital adequacy tests. The objective of this paper is to investigate, in the con…
q-fin.RM2014
Law-invariant risk measures: extension properties and qualitative robustness
Pablo Koch-Medina, Cosimo Munari
We characterize when a convex risk measure associated to a law-invariant acceptance set in can be extended to , , preserving finiteness and continui…