In finance risk capital allocation raises important questions both from theoretical and practical points of view. How … assign this to different business units? We use an axiomatic approach to examine risk capital allocation, that is we call for … to share risk of a portfolio among its subportfolios? How to reserve capital in order to hedge existing risk and how to …

jointly satisfy three natural fairness requirements for allocating risk capital in illiquid markets: Core Compatibility, Equal … Treatment Property and Strong Monotonicity. Core Compatibility can be viewed as the allocated risk to each coalition (subset) of … risky assets. Using coherent measures of risk the sum of the capital requirements of the divisions is larger than the …