Professor Walter Farkas (ETH Zurich) gave a seminar on Capital requirements and risk measures with defaultable securities

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On 12th November Prof. Farkas (University of Zurich and ETZ Zurich) accepted the invitation from Kent Business School and presented a study on finiteness and continuity properties of capital requirements in this general context. Together with colleagues from Zurich he showed how to reduce risk measures with respect to multiple eligible assets to the risk measures with respect to a single eligible asset by properly enlarging the acceptance set. Their results and examples show that a theory of capital requirements allowing for general eligible assets is richer than the standard theory of cash-additive risk measures.