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

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 33,747

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Top 33,747

in Total Papers Downloads

1,399

SSRN CITATIONS

5

CROSSREF CITATIONS

1

Scholarly Papers (6)

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 391 (78,600)
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 245 (131,208)

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

3.

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, University of Oxford and University of Zurich - Department of Banking and Finance
Downloads 222 (144,433)
Citation 1

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

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 218 (146,983)
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

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 177 (177,979)

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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
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 146 (209,687)
Citation 2

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