Intragroup transfers, intragroup diversification and their risk assessment

Andreas Haier (), Ilya Molchanov () and Michael Schmutz ()
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Andreas Haier: University of Bern
Ilya Molchanov: University of Bern
Michael Schmutz: University of Bern

Annals of Finance, 2016, vol. 12, issue 3, No 4, 363-392

Abstract: Abstract When assessing group solvency, an important question is to what extent intragroup transfers may be taken into account, as this determines to which extent diversification can be achieved. We suggest a framework to explicitly describe the families of admissible transfers that range from the free movement of capital to excluding any transactions. The constraints on admissible transactions are described as random closed sets. The paper focuses on the corresponding solvency tests that amount to the existence of acceptable selections of the random sets of admissible transactions.

Keywords: Fungibility risks; Intragroup diversification; Intragroup transactions; Set-valued risk measures; Risk assessments for groups; Solvency tests for groups (search for similar items in EconPapers)
JEL-codes: C65 G20 G32 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s10436-016-0284-6

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