Measuring and allocating risk properly are crucial for performance evaluation and internal capital allocation of … using coherent measures of risk it is impossible to allocate risk satisfying the natural requirements of (Solution) Core … portfolios held by banks, insurance companies, investment funds and other entities subject to financial risk. We show that by …

the discipline. After the presentation of some basic definitions, the focus will be on the core and the Shapley value, two …

portfolio by studying transferable utility cooperative games: risk allocation games. We show that the class of risk allocation … in all states of nature. We prove that the class of risk allocation games with no aggregate uncertainty coincides with …Measuring risk can be axiomatized by the concept of coherent measures of risk. A risk environment specifies some …

review the papers that have addressed the allocation problem using cooperative game theory. We also relate the rules defined …

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 …

between the methods. There are some properties that an allocation method should satisfy: full allocation, core compatibility …, riskless allocation, symmetry and suitability for performance measurement (compatibility with Return on Risk Adjusted Capital …Capital allocation is used for many purposes in financial institutions and for this purpose several methods are known …

would like to learn from. In this setup, we examine how the existence of core stable partitions on the distinct market sides … respect common rankings shape the existence of core stable coalitional matchings. …

Recently, applications of cooperative game theory to economic allocation problems have gained popularity. In many such … allocation problems, such as river games, queueing games and auction games, the game is totally positive (i.e., all dividends are … nonnegative), and there is some hierarchical ordering of the players. In this paper we introduce the 'Restricted Core' for such …