EconPapers    
Economics at your fingertips  
 

Properties and comparison of risk capital allocation methods

Dóra Balog, Tamás Bátyi, Péter Csóka () and Miklós Pintér

European Journal of Operational Research, 2017, vol. 259, issue 2, 614-625

Abstract: If a financial unit (a bank, an insurance company, a portfolio, the financial system of a country, etc.) consists of subunits (divisions, subportfolios, etc.), then the risk of the main unit should be allocated to the subunits using a risk capital allocation method in a fair way.

Keywords: Finance; Coherent measures of risk; Risk capital allocation; Cooperative game theory; Simulation (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S037722171630902X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:259:y:2017:i:2:p:614-625

Access Statistics for this article

European Journal of Operational Research is currently edited by Roman Slowinski, Jesus Artalejo, Jean-Charles. Billaut, Robert Dyson and Lorenzo Peccati

More articles in European Journal of Operational Research from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-09-16
Handle: RePEc:eee:ejores:v:259:y:2017:i:2:p:614-625