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Risk allocation under liquidity constraints
Csóka, Péter; Herings, Peter Jean-Jacques - 2013
Persistent link: https://www.econbiz.de/10010199466
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Risk allocation under liquidity constraints
Csóka, Péter; Herings, Peter Jean-Jacques - 2014
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 … class of transferable utility games coincides with the class of totally balanced games. It follows from our results that …
Persistent link: https://www.econbiz.de/10010350439
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Fair risk allocation in illiquid markets
Csóka, Péter - 2015
Let us consider a financially constrained leveraged financial firm having some divisions which have invested into some risky assets. Using coherent measures of risk the sum of the capital requirements of the divisions is larger than the capital requirement of the firm itself, there is some...
Persistent link: https://www.econbiz.de/10010481803
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Risk Allocation Under Liquidity Constraints
Csóka, Péter - 2013
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 … class of transferable utility games coincides with the class of totally balanced games. It follows from our results that …
Persistent link: https://www.econbiz.de/10013074803
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Capital Allocation à La Aumann-Shapley for Non Differentiable Risk Measures
Centrone, Francesca - 2017
We introduce a family of Capital allocation rules (C.A.R) based on the dual representation for risk measures and inspired to the Aumann-Shapley allocation principle. These rules extend the one of Denault and Kalkbrener (for coherent risk measures) and the one of Tsanakas (convex case), to the...
Persistent link: https://www.econbiz.de/10012959630
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Risk allocation under liquidity constraints
Csóka, Péter; Herings, Peter Jean-Jacques - 2013
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 … class of transferable utility games coincides with the class of totally balanced games. It follows from our results that …
Persistent link: https://www.econbiz.de/10010127751
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Risk Allocation Under Liquidity Constraints
Csóka, Péter; Herings, P. Jean-Jacques - 2018
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 … class of transferable utility games coincides with the class of totally balanced games. It follows from our results that …
Persistent link: https://www.econbiz.de/10014145356
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The Family of Weighted Aumann-shapley Values With an Application in Risk Capital Allocations
Boonen, Tim J. - 2018
This paper introduces the family of Weighted Aumann-Shapley values for piecewise linear fuzzy games. The regular Aumann … approach of Aumann and Shapley (1974). Their approach is not working on the class of piecewise linear fuzzy games. We show that …
Persistent link: https://www.econbiz.de/10012938623
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Portfolio Choice of Large Investors Who Interact Strategically
Curatola, Giuliano - 2019
This paper studies the portfolio choice of two large investors who act strategically because their trading affects expected stock returns. Each investor chooses her optimal portfolio conditional on the portfolio of the opponent. Equilibrium portfolios and their performance depend on the...
Persistent link: https://www.econbiz.de/10012868416
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Bargaining for Over-the-Counter Risk Redistributions : The Case of Longevity Risk
Boonen, Tim J. - 2017
Existing literature regarding the natural hedge potential that arises from combining liabilities with different sensitivities focuses on the optimal liability mix, but does not address the question whether and how changes in the liability mix can be obtained. In the absence of a well-functioning...
Persistent link: https://www.econbiz.de/10012974804