Capital Requirements and Preferences in the face of Risk, Model Risk and Knightian Uncertainty (Hans Föllmer)
Monetary risk measures specify the capital requirement needed to make a given financial position acceptable. We discuss some recent developments in the theory of convex monetary risk measures, in particular their application to uncertain cash flows and to the analysis of preferences in situations which involve model risk and Knightian uncertainty. We also discuss coherence vs. convexity for entropic risk measures and their role in large deviation bounds. In part, the talk will be based on joint work with B. Acciaio and I. Penner and with Th. Knispel.