We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest …-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the … provide a variety of finiteness and continuity results for the corresponding risk measures and apply them to risk measures …

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 …

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 … financial entity may have to liquidate part of its assets, which is costly. The definition of a risk allocation game under …