Pablo Koch-Medina

University of Zurich - Department of Banking and Finance

Professor of Finance and Insurance

Plattenstrasse 14

Zürich, 8032

Switzerland

Swiss Finance Institute

Faculty

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

  • University of Zurich - Department of Banking and Finance

  • Swiss Finance Institute

SCHOLARLY PAPERS

16

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2,925

SSRN CITATIONS
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SSRN RANKINGS

Top 34,604

in Total Papers Citations

19

CROSSREF CITATIONS

4

Scholarly Papers (16)

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1.

Measuring Risk with Multiple Eligible Assets

Mathematics and Financial Economics, 9 (2015)
Number of pages: 28 Posted: 25 Jan 2012 Last Revised: 05 Nov 2015
Walter Farkas, Pablo Koch-Medina and Cosimo Munari
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 408 (100,564)
Citation 1

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risk measures, multiple eligible assets, acceptance sets, dual representations, set-valued risk measures, superhedging with shortfall risk, optimal risk sharing

2.

Insurance: Models, Digitalization, and Data Science

Swiss Finance Institute Research Paper No. 19-26
Number of pages: 14 Posted: 03 May 2019 Last Revised: 09 May 2019
Hansjoerg Albrecher, Antoine Bommier, Damir Filipović, Pablo Koch-Medina, Stéphane Loisel and Hato Schmeiser
University of Lausanne, ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich, Ecole Polytechnique Fédérale de Lausanne, University of Zurich - Department of Banking and Finance, University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA) and University of Muenster - Faculty of Economics
Downloads 337 (124,654)
Citation 1

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3.

Asset-Liability Management for Long-Term Insurance Business

Swiss Finance Institute Research Paper No. 17-69
Number of pages: 18 Posted: 21 Dec 2017 Last Revised: 09 Jan 2018
Hansjoerg Albrecher, Daniel Bauer, Paul Embrechts, Damir Filipović, Pablo Koch-Medina, Ralf Korn, Stéphane Loisel, Antoon Pelsser, Frank Schiller, Hato Schmeiser and Joël Wagner
University of Lausanne, University of Wisconsin-Madison, Swiss Federal Institute of Technology Zurich, Ecole Polytechnique Fédérale de Lausanne, University of Zurich - Department of Banking and Finance, University of Kaiserslautern - Department of Mathematics, University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA), Maastricht University, MunichRe, University of Muenster - Faculty of Economics and University of Lausanne - Department of Actuarial Science (HEC Lausanne)
Downloads 330 (127,454)
Citation 4

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asset-liability management, long-term insurance, valuation, insurance products, investments, models

4.

Capital Requirements with Defaultable Securities

Insurance: Mathematics and Economics, 55 (2014), Swiss Finance Institute Research Paper No. 13-66
Number of pages: 24 Posted: 01 Dec 2011 Last Revised: 11 Mar 2014
Walter Farkas, Pablo Koch-Medina and Cosimo Munari
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 255 (166,185)
Citation 1

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acceptance sets, eligible asset, risk measures, capital adequacy, capital efficiency, Value-at-Risk, Tail Value-at-Risk

5.

Beyond Cash-Additive Risk Measures: When Changing the Numeraire Fails

Finance Stochastics, 18(1), 145-173 (2014), Swiss Finance Institute Research Paper No. 13-67
Number of pages: 26 Posted: 09 May 2012 Last Revised: 11 Mar 2014
Walter Farkas, Pablo Koch-Medina and Cosimo Munari
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 233 (181,215)
Citation 3

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risk measures, acceptance sets, general eligible assets, defaultable bonds, cash subadditivity, quasiconvexity, Value-at-Risk, Tail Value-at-Risk, shortfall risk

6.

The Valuation of Insurance Liabilities: A Framework Based on First Principles

Swiss Finance Institute Research Paper No. 20-03
Number of pages: 14 Posted: 02 Jun 2019 Last Revised: 14 Jan 2020
Andrea Bergesio, Paul Huber, Pablo Koch-Medina and Lutz Wilhelmy
University of Zurich - Department of Banking and Finance, Swiss Re, University of Zurich - Department of Banking and Finance and Swiss Re
Downloads 205 (204,343)

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Insurance, Valuation, Financial Frictions, Market Consistency, Solvency II

7.

Unexpected Shortfalls of Expected Shortfall: Extreme Default Profiles and Regulatory Arbitrage

Number of pages: 23 Posted: 11 Dec 2014 Last Revised: 17 Sep 2015
Pablo Koch-Medina and Cosimo Munari
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 203 (206,220)
Citation 4

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expected shortfall, value-at-risk, financial regulation, tail behaviour, default behaviour

8.

Capital Levels and Risk-Taking Propensity in Financial Institutions

Accounting and Finance Research, 3 (1), 85-89, (2014) , Swiss Finance Institute Research Paper No. 13-33
Number of pages: 11 Posted: 08 Jun 2013 Last Revised: 09 Jan 2020
Giovanni Barone-Adesi, Walter Farkas and Pablo Koch-Medina
University of Lugano, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 197 (211,837)

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risk propensity, net tangible value, default option, franchise value

9.

Old-Age Provision: Past, Present, Future

European Actuarial Journal, Forthcoming, Swiss Finance Institute Research Paper No. 16-55
Number of pages: 22 Posted: 17 Sep 2016 Last Revised: 20 Sep 2016
Hansjoerg Albrecher, Paul Embrechts, Damir Filipović, Glenn W. Harrison, Pablo Koch-Medina, Stéphane Loisel, Paolo Vanini and Joël Wagner
University of Lausanne, Swiss Federal Institute of Technology Zurich, Ecole Polytechnique Fédérale de Lausanne, Georgia State University - J. Mack Robinson College of Business, University of Zurich - Department of Banking and Finance, University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA), University of Basel and University of Lausanne - Department of Actuarial Science (HEC Lausanne)
Downloads 160 (253,252)
Citation 2

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Pension funding gap, Demographic and societal challenges, Valuation of pension liabilities, Economic and regulatory capital models, Role of financial markets

10.

Value-at-Risk vs. Expected Shortfall: Beware of the Aggregation Currency!

Number of pages: 8 Posted: 22 May 2014
Peter Antal and Pablo Koch-Medina
Swiss Reinsurance Company and University of Zurich - Department of Banking and Finance
Downloads 160 (253,252)

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risk measures, Value-at-Risk, expected shortfall, exchange rates, capital adequacy

11.

Capital Adequacy Tests and Limited Liability of Financial Institutions

Journal of Banking & Finance, 51 (2015)
Number of pages: 26 Posted: 02 Nov 2013 Last Revised: 05 Nov 2015
Pablo Koch-Medina, Santiago Moreno-Bromberg and Cosimo Munari
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 157 (257,266)
Citation 2

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surplus invariance, limited liability, capital adequacy, risk measures, loss-based risk measures, shortfall risk measures, excess invariance

12.

Currency Risk in Capital Adequacy

Number of pages: 11 Posted: 28 Feb 2014
Pablo Koch-Medina and Enrique Loubet
University of Zurich - Department of Banking and Finance and affiliation not provided to SSRN
Downloads 92 (377,751)
Citation 1

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risk measures, foreign exchange risk, currency risk, capital adequacy, acceptance sets

13.

Revisiting Optimal Investment Strategies of Value-Maximizing Insurance Firms

Number of pages: 51 Posted: 04 Aug 2018 Last Revised: 27 Jan 2021
Pablo Koch-Medina, Santiago Moreno-Bromberg, Claudia Ravanelli and Mario Sikic
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance, Center for Finance and Insurance and University of Zurich
Downloads 84 (399,111)

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Insurance Firm, Default Option, Franchise Value, Dividend Payments, Investment Strategy, Market-Consistent Valuation

14.

Equilibria in the CAPM with Nontradeable Endowments

Number of pages: 32 Posted: 23 Jan 2014 Last Revised: 10 Dec 2015
Pablo Koch-Medina and Jan Wenzelburger
University of Zurich - Department of Banking and Finance and University of Liverpool - Management School (ULMS)
Downloads 59 (481,753)

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Portfolio choice, CAPM, Non-tradeable Endowments, Risk Aversion

15.

Limited Liability and the Demand for Coinsurance by Individuals and Corporations

Swiss Finance Institute Research Paper No. 21-57
Number of pages: 34 Posted: 25 May 2021 Last Revised: 10 Aug 2021
Andrea Bergesio, Pablo Koch-Medina and Cosimo Munari
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 44 (546,089)

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insurance, risk-averse agent, risk-neutral firm, franchise value, limited liability

16.

Existence, Uniqueness, and Stability of Optimal Payoffs of Eligible Assets

Mathematical Finance, Vol. 30, Issue 1, pp. 128-166, 2020
Number of pages: 39 Posted: 29 May 2020
Michel Baes, Pablo Koch-Medina and Cosimo Munari
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE), University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 1 (873,108)
Citation 2

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capital adequacy, optimal eligible assets, parametric optimization, risk measures, set‐valued maps