Cosimo Munari

University of Zurich - Department of Banking and Finance

Schönberggasse 1

Zürich, 8001

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

  • University of Zurich - Department of Banking and Finance

SCHOLARLY PAPERS

9

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SSRN CITATIONS
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in Total Papers Citations

27

CROSSREF CITATIONS

2

Scholarly Papers (9)

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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 422 (111,690)
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.

Risk Measures Based on Benchmark Loss Distributions

Swiss Finance Institute Research Paper No. 18-48
Number of pages: 34 Posted: 19 Dec 2017 Last Revised: 27 Nov 2018
Valeria Bignozzi, Matteo Burzoni and Cosimo Munari
Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Università degli studi di Milano - Dipartimento di Matematica and University of Zurich - Department of Banking and Finance
Downloads 300 (162,632)
Citation 2

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risk measures, loss distributions, tail risk, capital adequacy, portfolio management, catastrophic risk, robustness, backtestability

3.

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 266 (184,117)
Citation 1

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

4.

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 249 (196,611)
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

5.

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 212 (229,376)
Citation 7

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

6.

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 173 (275,148)
Citation 3

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

7.

Adjusted Expected Shortfall

Swiss Finance Institute Research Paper No. 20-120, Journal of Banking and Finance, Forthcoming
Number of pages: 30 Posted: 14 Aug 2020 Last Revised: 19 Aug 2021
Matteo Burzoni, Cosimo Munari and Ruodu Wang
Università degli studi di Milano - Dipartimento di Matematica, University of Zurich - Department of Banking and Finance and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 155 (301,859)

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Convex Risk Measures, Tail Risk, Adjusted Expected Shortfall, Stochastic Dominance, Capital Adequacy, Optimization With Risk Measures

8.

Capital Requirements and Claims Recovery: A New Perspective on Solvency Regulation

Swiss Finance Institute Research Paper No. 21-58
Number of pages: 50 Posted: 27 Apr 2021 Last Revised: 10 Aug 2021
Cosimo Munari, Stefan Weber and Lutz Wilhelmy
University of Zurich - Department of Banking and Finance, Leibniz Universität Hannover - House of Insurance and Swiss Re
Downloads 87 (458,148)

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9.

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 56 (580,749)
Citation 1

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