Navigation auf uzh.ch
Navigation auf uzh.ch
Ambiguity aversion in standard and extended Ellsberg frameworks: alpha-maxmin versum maxmin preferences
C. Ravanelli, G. Svindland
Forthcoming in: Economic Theory
Existence, uniqueness and stability of optimal eligible assets
M. Baes, P. Koch-Medina, C. Munari
Forthcoming in: Mathematical Finance
Risk measures based on benchmark loss distributions
M. Burzoni, V. Bignozzi, C. Munari
Forthcoming in: Journal of Dual representations of systemic risk measurRisk and Insurance
Surplus-invariant risk measures
N. Gao, C. Munari
Forthcoming in: Mathematics of Operations Research
A continuous selection for optimal portfolios under convex risk measures does not always exist
M. Baes, C. Munari
Forthcoming in: Mathematical Methods of Operations Research
Dual representations of systemic risk measures based on acceptance sets
M. Arduca, P. Koch-Medina, C. Munari
Forthcoming in: Mathematics and Financial Economics
P. Koch-Medina, J. Wenzelburger
In: Journal of Mathematical Economics, 75, 93-107, 2018
Asset-liability management for long-term insurance business
H. Albrecher, D. Bauer, P. Embrechts, D. Filipović, P. Koch-Medina, R. Korn, S. Loisel, A. Pelsser, F. Schiller, H. Schmeiser, J. Wagner
In: European Actuarial Journal, 8. 9-25, 2018
Which eligible assets are compatible with comonotonic capital requirements?
Fatou property, representations ans extensions of law-invariant risk measures in general Orlicz spaces
N. Gao, D. Leung, C. Munari, F. Xanthos
In: Finance and Stochastics, 22, 395-415, 2018
A simple characterization of tightness for convex solid sets of positive random variables
P. Koch-Medina, C. Munari, M. Sikic
In: Positivity, 22, 1015–1022, 2018
Dynamic mean-variance optimization problems with deterministic information
M. Schweizer, M. Sikic, D. Zivoi
In: International Journal of Theoretical and Applied Finance, 21, 2018
Robust Utility Maximization in Discrete-Time Markets with Friction
A. Neufeld, M. Sikic
In: SIAM Journal on Control and Optimization, 56, 1912–1937, 2018
Continuous-Time Models in Corporate Finance, Banking, and Insurance
J.-C. Rochet, S. Moreno-Bromberg
Princeton University Press, 2018
Old-age provision: past, present, future
H. Albrecher, P.
Resolution of Financial Distress under Agency Frictions
S. Moreno-Bromberg, Q.T. Vo
In: Journal of Banking and Finance, 82, 40-58, 2017
Diversification, protection of liability holders and regulatory arbitrage
P. Koch-Medina, C. Munari, M. Sikic
In: Mathematics and Financial Economics, 11, 63-83, 2017
Unexpected shortfalls of Expected Shortfall: Extreme default profiles and regulatory arbitrage
P. Koch-Medina, C. Munari
In: Journal of Banking & Finance, 62, 141–151, 2016
The shadow costs of repos and bank liability structure
N. Klimenko, S. Moreno-Bromberg
In: Journal of Economic Dynamics and Control, 65, 1-29, 2016
A non-stationary model of dividend distribution in a stochastic interest-rate setting
A. Barth, S. Moreno-Bromberg, O. Reichmann
In: Computational Economics, 47, 447-472, 2016
Robust capital requirements with model risk
P. Barrieu, C. Ravanelli
In: Economic Notes, 44, 1-28, 2015
Capital adequacy tests and limited liability of financial institutions
P. Koch-Medina, S. Moreno-Bromberg, C. Munari
In: Journal of Banking & Finance, 51, 93-102, 2015
Measuring risk with multiple eligible assets
W. Farkas, P. Koch-Medina, C. Munari
In: Mathematics and Financial Economics, 9, 3-27, 2015
Optimal risk and liquidity management with costly refinancing opportunities
A. Barth, S. Moreno-Bromberg
In: Insurance: Mathematics and Economics, 57, 31-45, 2014
Beyond cash-additive risk measures: when changing the numéraire fails
W. Farkas, P. Koch-Medina, C. Munari
In: Finance and Stochastics, 18, 145-173, 2014
Comonotone Pareto optimal allocations for probabilistic sophisticated variational preferences
C. Ravanelli, G. Svindland
In: Finance and Stochastics, 18, 249-269, 2014
Market frictions and corporate finance: an overview paper
S. Moreno-Bromberg, J.-C. Rochet
In: Mathematics and financial economics, 8, 355-381, 2014
Law-invariant risk measures: Extension properties and qualitative robustness
P. Koch-Medina, C. Munari
In: Statistics & Risk Modeling, 31, 215-236, 2014
Capital levels and risk-taking propensity in financial institutions
G. Barone Adesi, W. Farkas, P. Koch-Medina
In: Accounting and Financial Research, 3, 85-89, 2014
Capital requirements with defaultable securities
W. Farkas, P. Koch-Medina, C. Munari
In: Insurance: Mathematics and Economics, 55, 58-67, 2014
