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Csóka, Péter (contributor); … - 2007

portfolios' realization vectors, risk allocation games aim at solving the second problem: How to distribute the diversification … benefits of the various portfolios? Understanding these cooperative games helps us to find stable, efficient, and fair … allocations of risk. We show that the class of risk allocation and totally balanced games coincide, hence a stable allocation of …

Persistent link: https://www.econbiz.de/10003551804

Properties of risk capital allocation methods : core compatibility, equal treatment property and strong monotonicity

Balog, Dóra; Bátyi, Tamás László; Csóka, Péter; … - 2014

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...

Persistent link: https://www.econbiz.de/10010381388

Risk allocation under liquidity constraints

Csóka, Péter; Herings, Peter Jean-Jacques - 2013

Persistent link: https://www.econbiz.de/10010199466

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

The collective risk of inequality : a social dilemma calling for a solution?

Poppitz, Philipp - 2011

In the aftermath of the financial crisis, attention concerning inequality as a risk factor has risen. Nevertheless studies, focusing on the implications of inequality as a collective risk, remain seldom. Therefore the following paper will discuss why inequality is indeed a collective risk,...

Persistent link: https://www.econbiz.de/10010425855

Bargaining with a residual claimant : an experimental study

Embrey, Matthew; Hyndman, Kyle; Riedl, Arno - 2014

We experimentally investigate a bargaining environment in which players negotiate over a fixed payment to one player, while the other player receives the residual from a random pie realization after subtracting the fixed payment. Contrary to the intuition that risk exposure is detrimental, we...

Persistent link: https://www.econbiz.de/10010438024

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

Pooling, pricing and trading of risks

Flåm, Sjur D. - 2002

Exchange of risks is considered here as a transferable-utility cooperative game. When the concerned agents are risk averse, there is a core imputation given by means of shadow prices on state-dependent claims. Like in finance, a risk can hardly be evaluated merely by its inherent statistical...

Persistent link: https://www.econbiz.de/10011409137

The coalitional Nash bargaining solution with simultaneous payoff demands

Nieva, Ricardo - 2015

We consider a standard coalitional bargaining game where once a coalition forms it exits as in Okada (2011), however, instead of alternating offers, we have simultaneous payoff demands. We focus in the producer game he studies. Each player is chosen with equal probability. If that is the case,...

Persistent link: https://www.econbiz.de/10011296159

Excess Based Allocation of Risk Capital

van Gulick, Gerwald - 2010

In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a firm. Specifically, we determine the capital allocation that minimizes the excesses of sets of portfolios in lexicographical sense. The excess of a set of portfolios is defined as the expected loss...

Persistent link: https://www.econbiz.de/10013135329