英文标题：
《Which eligible assets are compatible with comonotonic capital
requirements?》
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作者：
Pablo Koch-Medina, Cosimo Munari, Gregor Svindland
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最新提交年份：
2021
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英文摘要：
Within the context of capital adequacy, we study comonotonicity of risk measures in terms of the primitives of the theory: acceptance sets and eligible, or reference, assets. We show that comonotonicity cannot be characterized by the properties of the acceptance set alone and heavily depends on the choice of the eligible asset. In fact, in many important cases, comonotonicity is only compatible with risk-free eligible assets. The incompatibility with risky eligible assets is systematic whenever the acceptability criterion is based on Value at Risk or any convex distortion risk measure such as Expected Shortfall. These findings qualify and arguably call for a critical appraisal of the meaning and the role of comonotonicity within a capital adequacy context.
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中文摘要：
在资本充足率的背景下，我们从理论的原语：接受集和合格资产或参考资产的角度研究风险度量的共单调性。我们证明了共单调性不能仅用接受集的性质来表征，而且在很大程度上取决于合格资产的选择。事实上，在许多重要情况下，共名性仅与无风险合格资产兼容。当可接受性标准基于风险价值或任何凸形失真风险度量（如预期短缺）时，与风险合格资产的不相容性是系统性的。这些发现符合资本充足率背景下对共名性的意义和作用进行批判性评估的条件，并有争议地提出了这一要求。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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