Shapley Allocation - the effect of Services on Diversification

Peter Mitic () and Bertrand K. Hassani ()
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Peter Mitic: Santander UK
Bertrand K. Hassani: Grupo Santander et Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.univ-paris1.fr

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: The Shapley method is applied to capital allocation in the context of a simple business model, where many business units supported by services. In this model the services are capable of either reducing the capital payable by the business units, or the opposite. A simple model of evaluating the value of coalitions is proposed, with a modification if a service is a member of the coalition. A closed form formula for the Shapley allocation to all players is derived, thus eliminating combinatorial problems

Keywords: Allocation; Shapley; operational risk; diversification; service; Game theory; capital value (search for similar items in EconPapers)
JEL-codes: C71 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2015-06
New Economics Papers: this item is included in nep-cdm and nep-gth
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:15057

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