Il giorno giovedì 9 febbraio alle ore 14 presso la Aula Seminari 4026 del DISMEQ, al IV piano dell'edificio U7, il Prof. Cosimo Munari del Department of Banking and Finance della University of Zurich terrà un seminario su

The theory of capital adequacy tests

Abstract
The primary objective of solvency regimes for financial institutions is to ensure that liability holders are protected against default risk at an acceptable level of security. This fundamental goal translates into a normative requirement for capital adequacy tests, called surplus invariance, according to which the capital adequacy assessment should only depend on the default profile of financial institutions. This requirement, which had already appeared in a first version of the landmark paper by Artzner, Delbaen, Eber and Heath (1999), has been regained attention in a variety of recent papers, such as Cont, Deguest and He (2013) and Staum (2013). By means of duality methods we characterize capital adequacy tests satisfying surplus invariance and show that the only capital adequacy tests that simultaneously satisfy surplus invariance and coherence are those based on test scenarios. In particular, capital adequacy tests based on Expected Shortfall fail to be surplus invariant. This finding challenges the widespread agreement that coherent risk measures, in particular Expected Shortfall, take a liability holders' perspective and implies that, when choosing a regulatory risk measure, tradeoffs that may ultimately undermine regulatory objectives become necessary. Special attention is paid to regulation based on Value-at-Risk and Expected Shortfall.

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Prof. Fabio Bellini
Department of Statistics and Quantitative Methods
University of Milano-Bicocca
Via Bicocca degli Arcimboldi 8, 20126 Milano
0039-2-64483119
http://www.economia.unimib.it/bellini
http://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it