Properties of risk capital allocation methods: Core Compatibility, Equal Treatment Property and Strong Monotonicity
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- Dóra Balog & Tamás László Bátyi & Péter Csóka & Miklós Pintér, 2014. "Properties of risk capital allocation methods: Core Compatibility, Equal Treatment Property and Strong Monotonicity," CERS-IE WORKING PAPERS 1417, Institute of Economics, Centre for Economic and Regional Studies.
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Cited by:
- Csóka Péter & Pintér Miklós, 2016.
"On the Impossibility of Fair Risk Allocation,"
The B.E. Journal of Theoretical Economics, De Gruyter, vol. 16(1), pages 143-158, January.
- Csóka, Péter & Pintér, Miklós, 2010. "On the impossibility of fair risk allocation," MPRA Paper 26515, University Library of Munich, Germany.
- Csóka, Péter & Pintér, Miklós, 2014. "On the impossibility of fair risk allocation," Corvinus Economics Working Papers (CEWP) 2014/12, Corvinus University of Budapest.
- Peter Csoka & Miklos Pinter, 2011. "On the Impossibility of Fair Risk Allocation," CERS-IE WORKING PAPERS 1117, Institute of Economics, Centre for Economic and Regional Studies.
- Csóka, Péter, 2017.
"Fair risk allocation in illiquid markets,"
Finance Research Letters, Elsevier, vol. 21(C), pages 228-234.
- Peter Csoka, 2015. "Fair risk allocation in illiquid markets," CERS-IE WORKING PAPERS 1509, Institute of Economics, Centre for Economic and Regional Studies.
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More about this item
Keywords
Coherent Measures of Risk; Risk Capital Allocation; Shapley value; Core; Simulation;All these keywords.
JEL classification:
- C71 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Cooperative Games
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fields
This paper has been announced in the following NEP Reports:- NEP-GTH-2014-08-09 (Game Theory)
- NEP-RMG-2014-08-09 (Risk Management)
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