Capital requirements with defaultable securities
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References listed on IDEAS
- Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1473-1486, July.
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- Koch-Medina, Pablo & Moreno-Bromberg, Santiago & Munari, Cosimo, 2015. "Capital adequacy tests and limited liability of financial institutions," Journal of Banking & Finance, Elsevier, vol. 51(C), pages 93-102.
- repec:eee:insuma:v:77:y:2017:i:c:p:150-165 is not listed on IDEAS
- Pablo Koch-Medina & Cosimo Munari & Gregor Svindland, 2016. "Comonotonic risk measures in a world without risk-free assets," Papers 1602.05477, arXiv.org, revised Aug 2017.
- W. Farkas & A. Smirnow, 2016. "Intrinsic risk measures," Papers 1610.08782, arXiv.org.
- Xue Dong He & Xianhua Peng, 2017. "Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk," Papers 1707.05596, arXiv.org, revised Jan 2018.
- Pablo Koch-Medina & Santiago Moreno-Bromberg & Cosimo Munari, 2014. "Capital adequacy tests and limited liability of financial institutions," Papers 1401.3133, arXiv.org, revised Feb 2014.
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