. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity … also when taking liquidity considerations into account there is always a stable way to allocate risk. …Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

lending arrangements. If the collateral constraint binds, agents price in a liquidity premium on bonds that lowers the real … or spending. The price dynamics are driven solely by the liquidity premium on the debt …

While empirical literature has documented a negative relation between default risk and stock returns, the theory … suggests that default risk should be positively priced. We provide an explanation for this "default anomaly", by calculating … components. The systematic part, measured as the PD sensitivity to aggregate default risk, is positively related to stock returns …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …