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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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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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On the impossibility of fair risk allocation
Csóka, Péter; Pintér, Miklós - 2011
of totally balanced games and also on the class of exact games. Our result can also be seen as a downside of coherent … measures of risk. -- Coherent Measures of Risk ; Risk Allocation Games ; Totally Balanced Games ; Exact Games ; Shapley value …
Persistent link: https://www.econbiz.de/10008991828
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Optimal risk-sharing across a network of insurance companies
Ettlin, Nicolas; Farkas, Walter; Kull, Andreas; … - 2020
Risk transfer is a key risk and capital management tool for insurance companies. Transferring risk between insurers is used to mitigate risk and manage capital re- quirements. We investigate risk transfer in the context of a network environment of insurers and consider capital costs and capital...
Persistent link: https://www.econbiz.de/10012270812
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Assessing financial stability in turbulent times : a study of generalized autoregressive conditional heteroskedasticity-type Value-at-Risk model performance in Thailand's transport...
Danai Likitratcharoen; Lucksuda Suwannamalik - In: Risks : open access journal 12 (2024) 3, pp. 1-19
, particularly during crises and heightened uncertainty phases. Phenomena like volatility clustering impinge on the accuracy of these … of VaR approaches. This study critically evaluates the efficacy of GARCH-type VaR models within the transportation sector … the Transportation Sector index (TRANS), the Service Industry index (SERVICE), and 17 pertinent stocks within the Stock …
Persistent link: https://www.econbiz.de/10014497424
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Using VAR for strategic capacity allocation : an airline perspective
Leon, Steven; Szmerekovsky, Joseph; Tolliver, Denver - In: International journal of services and operations management 21 (2015) 2, pp. 127-149
Persistent link: https://www.econbiz.de/10011380053
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New algorithmic framework for conditional value at risk : application to stochastic fixed-charge transportation
Fernández, Elena; Hinojosa, Yolanda; Puerto, Justo; … - In: European journal of operational research : EJOR 277 (2019) 1, pp. 215-226
Persistent link: https://www.econbiz.de/10012014841
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Risk-averse two-stage stochastic programming for the inventory rebalancing of bike-sharing systems
Walker, Awnalisa; Kwon, Soongeol - In: International transactions in operational research : a … 31 (2024) 2, pp. 749-779
Persistent link: https://www.econbiz.de/10014441122
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Predicting the unpredictable : value-at-risk, performativity, and the politics of financial uncertainty
Lockwood, Erin - In: Review of international political economy : RIPE 22 (2015) 4, pp. 719-756
Persistent link: https://www.econbiz.de/10011372868
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The uncertainty of systemic risk
Ilin, Thomas; Varga, Liz - In: Risk management : a journal of risk, crisis and disaster 17 (2015) 4, pp. 240-275
Persistent link: https://www.econbiz.de/10011439474