Koch-Medina, Pablo; Moreno-Bromberg, Santiago; Munari, … - In: Journal of Banking & Finance 51 (2015) C, pp. 93-102
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 the class of surplus-invariant acceptance sets. We argue that surplus invariance is a reasonable requirement from a regulatory...