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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
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Handle: RePEc:eee:ejores:v:259:y:2017:i:2:p:614-625