Measuring risk beyond the cash-additive paradigm

Munari, Cosimo-Andrea

doi:10.3929/ethz-a-010475509

2015

DOI: 10.3929/ethz-a-010475509

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Measuring risk beyond the cash-additive paradigm

Cosimo-Andrea Munari¹

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Cited by 2 publications

References 71 publications

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Risk sharing for capital requirements with multidimensional security markets

Liebrich¹,

Svindland²

2019

Finance Stoch

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We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogeneous in that they apply varying capital adequacy tests and have access to different security markets. We discuss conditions under which there exists a representative agent. Thereafter, we study two frameworks of capital adequacy more closely, polyhedral constraints and distribution based constraints. We prove existence of optimal risk allocations and equilibria within these frameworks and elaborate on their robustness.

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Risk sharing for capital requirements with multidimensional security markets

Liebrich¹,

Svindland²

2019

Finance Stoch

View full text Add to dashboard Cite

show abstract

Intrinsic Risk Measures

Farkas

Smirnow

2016

SSRN Journal

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Measuring risk beyond the cash-additive paradigm

Cited by 2 publications

References 71 publications

Risk sharing for capital requirements with multidimensional security markets

Risk sharing for capital requirements with multidimensional security markets

Intrinsic Risk Measures

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