We study comonotonicity of regulatory risk measures in  terms of the primitives of the theory of risk measures: acceptance sets and eligible assets. We show that comonotonicity cannot be characterized by the properties of the acceptance set alone and heavily depends on the choice of the eligible asset. In fact, in many important cases, comonotonicity is only compatible with risk-free eligible assets. These findings seem to call for a renewed discussion about the meaning and the role of comonotonicity within the theory of regulatory risk measures .
We study comonotonicity of risk measures in the context of capital adequacy in terms of the primitives of the theory of risk measures: acceptance sets and eligible assets. We show that comonotonicity cannot be characterized by the properties of the acceptance set alone and heavily depends on the choice of the eligible asset. In fact, in many important cases, comonotonicity is only compatible with risk-free eligible assets. These findings seem to call for a renewed discussion about the meaning and the role of comonotonicity within a capital adequacy framework .
D
regulatory
A
the context of capital adequacy in
R
the theory of regulatory risk measures
a capital adequacy framework