workers are risk averse but workers more so. Wages are given or partially indexed in the short run, and capital markets are … imperfect. The government sets the exchange rate to allocate risk between workers and owners. With less risk-averse firms, and … greater difference in risk aversion between workers and firms, the optimal exchange rate should vary little with pure terms …

RORAC. An insightful example shows that the implementation of classical gradient capital allocation can be suboptimal if … requirements are refined by adding a risk correction term that takes into account the interdependencies of the risks of different …

allocation principle distributes the total systemic risk among individual institutions according to their size-shifted marginal …In this paper we develop a framework for measuring, allocating and managing systemic risk. SystRisk, our measure of … total systemic risk, captures the a priori cost to society for providing tail-risk insurance to the financial system. Our …

We introduce the notion of set-valued Capital Allocation rule, and study Capital allocation principles for multivariate … set-valued coherent and convex risk measures. We compare these rules with some of those mostly used for univariate (single …-valued) risk measures …