Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo - In: Finance and Stochastics 18 (2014) 1, pp. 145-173
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...