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

14

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2,223

SSRN CITATIONS
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Top 44,689

in Total Papers Citations

6

CROSSREF CITATIONS

5

Scholarly Papers (14)

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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 390 (75,521)
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.

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
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 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
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 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
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 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
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 50 (391,172)

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