Dear all,

On May 20 at 17:00, Cosimo-Andrea Munari (University of Zurich) will give a virtual seminar “in Insubria & Bicocca”, to which you are all invited. You can find the title and abstract below.

Title: Capital requirements and claims recovery: A new perspective on solvency regulation

Abstract:
Protection of creditors is a key objective of financial regulation. Where the protection needs are high, i.e., in banking and insurance, regulatory solvency requirements help prevent creditors from incurring losses on their claims. The current regulatory requirements based on Value at Risk and Expected Shortfall limit the probability of default of financial institutions, but fail to control the size of recovery on creditors' claims in the case of default. We resolve this failure by developing a novel risk measure, Recovery Value at Risk. Our conceptual approach is flexible and allows the construction of general recovery risk measures. By design, these risk measures control recovery on creditors' claims and integrate the protection needs of creditors into the incentive structure of the management.

The seminar will be on Zoom. You can find the information to join below. 

Speaker: Cosimo-Andrea Munari (Univ. Zurich)

Topic: Capital requirements and claims recovery: A new perspective on solvency regulation

Time: May 20, 2021 05:00 PM Rome

Where: Zoom

Link: https://us02web.zoom.us/j/82132902292?pwd=UlJXcE5mT1dmSmhtKzNkS1pXTlRhUT09

After the talk, you are all invited to remain in the meeting for an informal aperitif and chat.

Please forward to anyone interested.

Kind regards,

Elisa Mastrogiacomo and Emanuela Rosazza Gianin