Monday, 15:45 - 16:10 h, Room: H 3027


Cosimo-Andrea Munari
Risk measures and capital requirements with multiple eligible assets

Coauthors: Walter Farkas, Pablo Koch-Medina


We discuss risk measures associated with general acceptance sets for financial positions. Such risk measures represent the cost expressed as the minimum additional capital amount that, when invested in a pre-specified set of eligible assets, makes an unacceptable position acceptable. In contrast to earlier papers where the attention was focused on a single eligible asset, here we allow for multiple eligible assets. We show that the multiple eligible asset case can be reduced to the single asset case, provided that the set of acceptable positions can be properly enlarged. This is the case when it is not possible to make every financial position acceptable by adding a zero-cost portfolio of eligible assets. The results here simplify and generalize results of Fritelli and Scandolo from 2006 and of Artzner, Delbaen and Koch-Medina from 2009. However, in contrast to the literature, we do not impose any coherence or convexity requirements on the acceptance sets.


Talk 2 of the invited session Mon.3.H 3027
"Risk management in finance and insurance" [...]
Cluster 7
"Finance & economics" [...]


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