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• W2023113203 abstract "This work studies Good Deals in a scenario in which a firm uses decision-making tools based on a coherent risk measure, and in which the market prices are determined with a sub-linear pricing rule. The most important observation of this work is that the existence of a Good Deal is equivalent to the incompatibility between the pricing rule and the risk measure. In this paper, we look into this situation from a regulatory point of view to rule out Good Deals with the purpose of stabilizing financial markets. We propose some practical ways of modifying a risk measure so a regulator can set appropriate levels of capital requirements for a financial institution." @default.
• W2023113203 created "2016-06-24" @default.
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• W2023113203 date "2011-05-01" @default.
• W2023113203 modified "2023-09-29" @default.
• W2023113203 title "Good Deals and compatible modification of risk and pricing rule: a regulatory treatment" @default.
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• W2023113203 doi "https://doi.org/10.1007/s11579-011-0044-3" @default.
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