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Search Results: 1 - 10 of 469 matches for " Cosimo Munari "
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Law-invariant risk measures: extension properties and qualitative robustness
Pablo Koch-Medina,Cosimo Munari
Quantitative Finance , 2014,
Abstract: We characterize when a convex risk measure associated to a law-invariant acceptance set in $L^\infty$ can be extended to $L^p$, $1\leq p<\infty$, preserving finiteness and continuity. This problem is strongly connected to the statistical robustness of the corresponding risk measures. Special attention is paid to concrete examples including risk measures based on expected utility, max-correlation risk measures, and distortion risk measures.
Measuring risk with multiple eligible assets
Walter Farkas,Pablo Koch-Medina,Cosimo Munari
Quantitative Finance , 2013,
Abstract: The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and continuity properties of these risk measures with respect to multiple eligible assets. Our finiteness and continuity results highlight the interplay between the acceptance set and the class of eligible portfolios. We present a simple, alternative approach to the dual representation of convex risk measures by directly applying to the acceptance set the external characterization of closed, convex sets. We prove that risk measures are nondegenerate if and only if the pricing functional admits a positive extension which is a supporting functional for the underlying acceptance set, and provide a characterization of when such extensions exist. Finally, we discuss applications to set-valued risk measures, superhedging with shortfall risk, and optimal risk sharing.
Capital adequacy tests and limited liability of financial institutions
Pablo Koch-Medina,Santiago Moreno-Bromberg,Cosimo Munari
Quantitative Finance , 2014,
Abstract: The theory of acceptance sets and their associated risk measures plays a key role in the design of capital adequacy tests. The objective of this paper is to investigate, in the context of bounded financial positions, the class of surplus-invariant acceptance sets. These are characterized by the fact that acceptability does not depend on the positive part, or surplus, of a capital position. We argue that surplus invariance is a reasonable requirement from a regulatory perspective, because it focuses on the interests of liability holders of a financial institution. We provide a dual characterization of surplus-invariant, convex acceptance sets, and show that the combination of surplus invariance and coherence leads to a narrow range of capital adequacy tests, essentially limited to scenario-based tests. Finally, we emphasize the advantages of dealing with surplus-invariant acceptance sets as the primary object rather than directly with risk measures, such as loss-based and excess-invariant risk measures, which have been recently studied by Cont, Deguest, and He (2013) and by Staum (2013), respectively.
Beyond cash-additive risk measures: when changing the numéraire fails
Walter Farkas,Pablo Koch-Medina,Cosimo Munari
Quantitative Finance , 2012, DOI: 10.1007/s00780-013-0220-9
Abstract: We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the cash-additive case by a change of numeraire. However, discounting does not work in all financially relevant situations, typically when the eligible asset is a defaultable bond. In this paper we fill this gap allowing for general eligible assets. We provide a variety of finiteness and continuity results for the corresponding risk measures and apply them to risk measures based on Value-at-Risk and Tail Value-at-Risk on $L^p$ spaces, as well as to shortfall risk measures on Orlicz spaces. We pay special attention to the property of cash subadditivity, which has been recently proposed as an alternative to cash additivity to deal with defaultable bonds. For important examples, we provide characterizations of cash subadditivity and show that, when the eligible asset is a defaultable bond, cash subadditivity is the exception rather than the rule. Finally, we consider the situation where the eligible asset is not liquidly traded and the pricing rule is no longer linear. We establish when the resulting risk measures are quasiconvex and show that cash subadditivity is only compatible with continuous pricing rules.
Capital requirements with defaultable securities
Walter Farkas,Pablo Koch-Medina,Cosimo Munari
Quantitative Finance , 2012, DOI: 10.1016/j.insmatheco.2013.11.009
Abstract: We study capital requirements for bounded financial positions defined as the minimum amount of capital to invest in a chosen eligible asset targeting a pre-specified acceptability test. We allow for general acceptance sets and general eligible assets, including defaultable bonds. Since the payoff of these assets is not necessarily bounded away from zero the resulting risk measures cannot be transformed into cash-additive risk measures by a change of numeraire. However, extending the range of eligible assets is important because, as exemplified by the recent financial crisis, assuming the existence of default-free bonds may be unrealistic. We focus on finiteness and continuity properties of these general risk measures. As an application, we discuss capital requirements based on Value-at-Risk and Tail-Value-at-Risk acceptability, the two most important acceptability criteria in practice. Finally, we prove that there is no optimal choice of the eligible asset. Our results and our examples show that a theory of capital requirements allowing for general eligible assets is richer than the standard theory of cash-additive risk measures.
Diversification, protection of liability holders and regulatory arbitrage
Pablo Koch-Medina,Cosimo Munari,Mario Sikic
Quantitative Finance , 2015,
Abstract: Any solvency regime for financial institutions should be aligned with the two fundamental objectives of regulation: protecting liability holders and securing the stability of the financial system. From these objectives we derive two normative requirements for capital adequacy tests, called surplus and num\'eraire invariance, respectively. We characterize capital adequacy tests that satisfy surplus and num\'eraire invariance, establish an intimate link between these requirements, and highlight an inherent tension between the ability to meet them and the desire to give credit for diversification.
Testing of a Low-Cost Loop Heat Pipe Design  [PDF]
Cosimo Buffone
Journal of Electronics Cooling and Thermal Control (JECTC) , 2014, DOI: 10.4236/jectc.2014.41004
This paper presents and describes the test campaign of a low-cost Loop Heat Pipes (LHP) design. LHP have been around for many decades now. Their potential as passive heat transfer devices has been widely demonstrated in numerous both ground- and space-based applications. One of the major disadvantages of LHP is their inherent high manufacturing cost; this is the main factor why LHP are still confined to niche/high end applications such as thermal management of spacecrafts. This paper proposes to use an alternative manufacturing design for the LHP evaporator, which is the main contributor to the overall LHP cost. Preliminary thermal results are also reported and briefly explained. Future work is needed to confirm the promising results discussed in this paper and address fully other issues such as tolerance of this LHP design to vibrations and accelerations typical of space missions.
When Commitment Is Not Enough: How Stress and Individual-Organization Interface Affect Activists’ Persistence  [PDF]
Terri Mannarini, Cosimo Talo
Psychology (PSYCH) , 2011, DOI: 10.4236/psych.2011.25070
Abstract: In light of collective action and community development research, this study aims at testing a model of activist persistence that takes into account both individual and organizational levels. The proposed model predicted that commitment to a group/organization or its cause does affect an activists’ persistence. This relationship is mediated by two variables, namely the individual-organization interface and stress management processes. The model was empirically tested through a path analysis on a sample of 278 (N = 278; 43.9% female) participants recruited among active members in a variety of community groups/organizations. The results supported the pattern described by the model, showing that commitment is a precursor to activists’ persistence. However its direct impact is weaker than the impact exerted by stress levels and the fit between the individual and the group/organization. Applications for community development practice are discussed.
Strange stars and the cosmological constant problem
Bambi, Cosimo
High Energy Physics - Phenomenology , 2007, DOI: 10.1088/1475-7516/2007/06/006
Abstract: The cosmological constant problem represents an evident tension between our present description of gravity and particle physics. Many solutions have been proposed, but experimental tests are always difficult or impossible to perform and present phenomenological investigations focus only on possible relations with the dark energy, that is with the accelerating expansion rate of the contemporary universe. Here I suggest that strange stars, if they exist, could represent an interesting laboratory to investigate this puzzle, since their equilibrium configuration is partially determined by the QCD vacuum energy density.
Dark Energy and the mass of galaxy clusters
Bambi, Cosimo
High Energy Physics - Phenomenology , 2007, DOI: 10.1103/PhysRevD.75.083003
Abstract: Up to now, Dark Energy evidences are based on the dynamics of the universe on very large scales, above 1 Gpc. Assuming it continues to behave like a cosmological constant $\Lambda$ on much smaller scales, I discuss its effects on the motion of non-relativistic test-particles in a weak gravitational field and I propose a way to detect evidences of $\Lambda \neq 0$ at the scale of about 1 Mpc: the main ingredient is the measurement of galaxy cluster masses.
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