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

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 21,504

SSRN RANKINGS

Top 21,504

in Total Papers Downloads

2,223

SSRN CITATIONS
Rank 44,689

SSRN RANKINGS

Top 44,689

in Total Papers Citations

6

CROSSREF CITATIONS

5

Scholarly Papers (14)

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 390 (75,521)
Citation 1

Abstract:

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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.

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 244 (126,186)

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

3.

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 215 (142,847)
Citation 1

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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

4.

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
University of Lausanne, University of Alabama, 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 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 199 (153,636)
Citation 4

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

5.

Capital Levels and Risk-Taking Propensity in Financial Institutions

Swiss Finance Institute Research Paper No. 13-33
Number of pages: 11 Posted: 08 Jun 2013
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 178 (170,078)

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

6.

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 168 (178,952)

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

7.

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
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 Lyon 1 - Institute of Finance and Insurance Science (ISFA) and University of Muenster - Faculty of Economics
Downloads 153 (193,724)

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8.

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
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 Lyon 1 - Institute of Finance and Insurance Science (ISFA), University of Basel and University of Lausanne - Department of Actuarial Science (HEC Lausanne)
Downloads 150 (196,861)
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

9.

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 145 (202,439)

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

10.

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 145 (202,439)
Citation 2

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

11.

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 82 (302,931)
Citation 1

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

12.

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

Number of pages: 12 Posted: 02 Jun 2019 Last Revised: 08 Jun 2019
Andrea Bergesio, Paul Huber, Pablo Koch-Medina and Lutz Wilhelmy
Department of Banking and Finance, Swiss Re, University of Zurich - Department of Banking and Finance and Swiss Re
Downloads 52 (384,420)

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

13.

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 52 (384,420)

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

14.

Economic Valuation and Financial Management of an Insurance Firm

Number of pages: 46 Posted: 04 Aug 2018 Last Revised: 29 Apr 2019
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 50 (391,172)

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