using coherent measures of risk it is impossible to allocate risk satisfying the natural requirements of (Solution) Core …Measuring and allocating risk properly are crucial for performance evaluation and internal capital allocation of … portfolios held by banks, insurance companies, investment funds and other entities subject to financial risk. We show that by …

using a coherent measure of risk it is impossible to allocate risk satisfying the natural requirements of (Solution) Core …Measuring and allocating risk properly are crucial for performance evaluation and internal capital allocation of … portfolios held by banks, insurance companies, investment funds and other entities subject to financial risk. We show that by …

the discipline. After the presentation of some basic definitions, the focus will be on the core and the Shapley value, two …