When people share risk in financial markets, intermediaries provide costly enforcement for most trades and, hence, are … an integral part of financial marketsu0092 organization. We assess the degree of risk sharing that can be achieved … allow for optimal risk sharing as long as markets are complete, default is prevented in equilibrium and intermediaries …

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other … institutions being in distress. We define an institution’s (marginal) contribution to systemic risk as the difference between CoVaR … systemic risk contribution. We argue for macro-prudential regulation based on the degree to which such characteristics forecast …

The measurement and the allocation of risk are fundamental problems of portfolio management. Coherent measures of risk … provide an axiomatic approach to the former problem. In an environment given by a coherent measure of risk and the various … portfolios' realization vectors, risk allocation games aim at solving the second problem: How to distribute the diversification …

A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future … sub-additive risk measures can model stochastic and/or ambiguous interest rates or defaultable contingent claims …. Practical examples are presented and in such contexts cash additive risk measures cannot be used. Several representations of the …

incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a … nondegeneracy condition on the conditional variances of asset returns, we prove the existence of a locally risk-minimizing strategy … under the inclusion of transaction costs: The preceding strategy which is locally risk-minimizing inclusive of transaction …

In finance risk capital allocation raises important questions both from theoretical and practical points of view. How … to share risk of a portfolio among its subportfolios? How to reserve capital in order to hedge existing risk and how to … assign this to different business units? We use an axiomatic approach to examine risk capital allocation, that is we call for …