Risk allocation under liquidity constraints

Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity policy specifies state-dependent liquidity requirements that a portfolio should obey. To comply with the liquidity policy, a financial entity may have to liquidate part of its assets, which is costly.

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Year of publication:	2014
Authors:	Csóka, Péter ; Herings, P. Jean-Jacques
Published in:	Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 49.2014, C, p. 1-9
Publisher:	Elsevier
Subject:	Market microstructure \| Coherent measures of risk \| Market liquidity \| Portfolio performance evaluation \| Risk capital allocation \| Totally balanced games

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Type of publication:	Article
Classification:	C71 - Cooperative Games ; G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011118105