We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest …-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the … provide a variety of finiteness and continuity results for the corresponding risk measures and apply them to risk measures …

resulting risk measures cannot be transformed into cash-additive risk measures by a change of numéraire. However, extending the … default-free bonds may be unrealistic. We focus on finiteness and continuity properties of these general risk measures. As an … application, we discuss capital requirements based on Value-at-Risk and Tail-Value-at-Risk acceptability, the two most important …