Publication: Beyond cash-additive risk measures: When changing the numeraire fails
Beyond cash-additive risk measures: When changing the numeraire fails
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Farkas, W., Koch-Medina, P., & Munari, C. (2013). Beyond cash-additive risk measures: When changing the numeraire fails. Finance and Stochastics, 18(1), 145–173. https://doi.org/10.1007/s00780-013-0220-9
Abstract
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Abstract
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 capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the cash-additive case by a change of numéraire. However, discounting does not work in all financially relevant situations, especially when the eligible asset is a defaultable
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- Munari, Cosimo
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Citations
Farkas, W., Koch-Medina, P., & Munari, C. (2013). Beyond cash-additive risk measures: When changing the numeraire fails. Finance and Stochastics, 18(1), 145–173. https://doi.org/10.1007/s00780-013-0220-9