Risk allocation under liquidity constraints

Péter Csóka and P. Jean-Jacques Herings

Journal of Banking & Finance, 2014, vol. 49, issue C, 1-9

Abstract: Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity policy specifies state-dependent liquidity requirements that a portfolio should obey. To comply with the liquidity policy, a financial entity may have to liquidate part of its assets, which is costly.

Keywords: Market microstructure; Coherent measures of risk; Market liquidity; Portfolio performance evaluation; Risk capital allocation; Totally balanced games (search for similar items in EconPapers)
JEL-codes: C71 G10 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (9)

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Related works:
Working Paper: Risk Allocation under Liquidity Constraints (2014)
Working Paper: Risk Allocation under Liquidity Constraints (2014)
Working Paper: Risk Allocation under Liquidity Constraints (2013)
Working Paper: Risk allocation under liquidity constraints (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:49:y:2014:i:c:p:1-9

DOI: 10.1016/j.jbankfin.2014.08.017

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