Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/108217
Authors: 
Csóka, Péter
Pintér, Péter Miklós
Year of Publication: 
2011
Series/Report no.: 
IEHAS Discussion Papers MT-DP - 2011/17
Abstract: 
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 coherent measures of risk it is impossible to allocate risk satisfying the natural requirements of (Solution) Core Compatibility, Equal Treatment Property and Strong Monotonicity. To obtain the result we characterize the Shapley value on the class of totally balanced games and also on the class of exact games. Our result can also be seen as a downside of coherent measures of risk.
Subjects: 
Coherent Measures of Risk
Risk Allocation Games
Totally Balanced Games
Exact Games
Shapley value
Solution core
JEL: 
C71
G10
ISBN: 
978-615-5024-53-5
Document Type: 
Working Paper

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