performance evaluation of the divisions. In this paper we use cooperative game theory and simulation to assess the possibility to … divisions, then as an incentive its allocated risk capital should not increase. Analyzing the simulation results we conclude … risky assets. Using coherent measures of risk the sum of the capital requirements of the divisions is larger than the …

This paper considers the problem of measuring the exposure to dependence risk carried by a portfolio with an arbitrary … number of two-asset derivative contracts. We develop a worst-case risk measure computed over a set of dependence scenarios … exposure to dependence risk where usual sensitivity methods fail to reveal it. We also illustrate the ability of the proposed …