Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/108217 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
IEHAS Discussion Papers No. MT-DP - 2011/17
Verlag: 
Hungarian Academy of Sciences, Institute of Economics, Budapest
Zusammenfassung: 
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.
Schlagwörter: 
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
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
313.14 kB





Publikationen in EconStor sind urheberrechtlich geschützt.