Showing 1 - 10 of 23
The seminal no betting theorem on the equivalence of common priors and absence of agreeable bets obtains only over compact state spaces. We show here that this equivalence can be generalised to any infinite space if we expand the set of priors to include probability charges as priors. Going...
Persistent link: https://www.econbiz.de/10012387271
Liquidity is a key consideration in financial markets, especially in times of financial crises. For this reason, regulatory attention to and measures in this field have been on the rise for the past years. Based on practical experience, regulations aiming at ensuring funding liquidity or, in...
Persistent link: https://www.econbiz.de/10014468486
We consider financial networks where agents are linked to each other via mutual liabilities. In case of bankruptcy, there are potentially many bankruptcy rules, ways to distribute the assets of a bankrupt agent over the other agents. One common approach is to first apply pairwise netting of...
Persistent link: https://www.econbiz.de/10014468511
Liquidity and market risk are key considerations in financial markets, especially in times of financial crises. For this reason, regulatory attention to and measures in these fields have been on the rise for the past years. Based on practical experience, regulations aiming at ensuring funding...
Persistent link: https://www.econbiz.de/10014563946
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...
Persistent link: https://www.econbiz.de/10010398404
Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation invariance are recent tools in risk management to assess the amount of risk agents are exposed to. If they also satisfy law invariance and comonotonic additivity, then we get a...
Persistent link: https://www.econbiz.de/10010494343
Measuring risk can be axiomatized by the concept of coherent measures of risk. A risk environment specifies some individual portfolios' realization vectors and a coherent measure of risk. We consider sharing the risk of the aggregate portfolio by studying transferable utility cooperative games:...
Persistent link: https://www.econbiz.de/10010494358
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 coherent measures of risk it is impossible to...
Persistent link: https://www.econbiz.de/10010494462
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...
Persistent link: https://www.econbiz.de/10010494552
We extend the theoretical model of external corporate financing to the case when the buyers of the borrowing firm may default during the financing period. In our setup there is an asymmetric information and hence moral hazard between the lender and the borrower concerning the effrts of the...
Persistent link: https://www.econbiz.de/10010494561