Showing 1 - 10 of 27
The most important rule to determine payments in real-life bankruptcy problems is the proportional rule. Many such bankruptcy problems are characterized by network aspects, and the values of the agents’ assets are endogenous as they depend on the extent to which claims on other agents can be...
Persistent link: https://www.econbiz.de/10013488490
We study bankruptcy problems in financial networks in the presence of general bankruptcy laws. The set of clearing payment matrices is shown to be a lattice, which guarantees the existence of a greatest clearing payment and a least clearing payment. Multiplicity of clearing payment matrices is...
Persistent link: https://www.econbiz.de/10014000330
We consider a situation in which agents have mutual claims on each other, summarized in a liability matrix. Agents’ assets might be insufficient to satisfy their liabilities, leading to defaults. In case of default, bankruptcy rules are used to specify the way agents are going to be rationed....
Persistent link: https://www.econbiz.de/10011866858
Measuring and allocating risk properly are crucial for performance evaluation and internal capital allocation of portfolios held by banks, insurance companies, investment funds and other entities subject to financial risk. We show that by using a coherent measure of risk it is impossible to...
Persistent link: https://www.econbiz.de/10015224146
We investigate how the spectral risk measure associated with holding stocks rather than a riskfree deposit, depends on the holding period. Previous papers have shown that within a limited class of spectral risk measures, and when the stock price follows specific processes, spectral risk becomes...
Persistent link: https://www.econbiz.de/10012382099
This paper analyzes how to choose a delegation, a committee to represent a society such as in a peace conference. We propose normative conditions and seek Pareto optimal, consistent, neutral, and non-manipulable ways to choose a delegation. We show that a class of threshold rules is...
Persistent link: https://www.econbiz.de/10012643090
In a liability problem, the asset value of an insolvent firm must be distributed among the creditors and the firm itself, when the firm has some freedom in negotiating with the creditors. We model the negotiations using cooperative game theory and analyze the Shapley value to resolve such...
Persistent link: https://www.econbiz.de/10012653416
Tanulmányunkban kidolgozunk egy keretrendszert, melyben pénzügyi szereplők stilizált hálózatában lehetőség nyílik a rendszerkockázat mérésére és allokációjára. A koalíciós hatások megfelelő kezelése érdekében a kérdést a kooperatív játékelmélet keretei között...
Persistent link: https://www.econbiz.de/10014309977
Measuring and allocating risk properly are crucial for performance evaluation and internal capital allocation of portfolios held by banks, insurance companies, investment funds and other entities subject to financial risk. We show that by using a coherent measure of risk it is impossible to...
Persistent link: https://www.econbiz.de/10010124038
We generalize exactness to games with non-transferable utility (NTU). A game is exact if for each coalition there is a core allocation on the boundary of its payoff set. Convex games with transferable utility are well-known to be exact. We consider ve generalizations of convexity in the NTU...
Persistent link: https://www.econbiz.de/10010124194