Monday, 15:15 - 15:40 h, Room: H 3027


Walter Farkas
Acceptability and risk measures: effectiveness, robustness and optimality

Coauthors: Pablo Koch-Medina, Cosimo-Andrea Munari


We discuss risk measures generated by general acceptance sets allowing for capital injections to be invested in a pre-specified eligible asset. Risk measures play a key role when defining required capital for a financial institution. We address the three critical questions: when is required capital a well-defined number for any financial position? When is required capital a continuous function of the financial position? Can the eligible asset be chosen in such a way that for every financial position the corresponding required capital is lower than if any other asset had been chosen? Our discussion is not limited to convex or coherent acceptance sets and this generality opens up the field for applications to acceptance sets based both on Value-at-Risk and on Tail Value-at-Risk.


Talk 1 of the invited session Mon.3.H 3027
"Risk management in finance and insurance" [...]
Cluster 7
"Finance & economics" [...]


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