In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties "coherent." We...

We construct a financial market with countably many securities for which there are two equivalent martingale measures under which the market is approximately complete. Thus, approximate completeness does not in general guarantee unique consistent prices for nonmarketed claims. the construction...

This paper uses the existence of secondary markets for debt instruments with default risk (e.g. corporate bonds) to define default insurance along the lines of financial economics. It examines whether, in the case of several risk-neutral measures, characteristics of default can be uniquely...

This paper deals with issues concerning the core as a solution concept for games in coalitional form as well as the use of these games in representing economies of a certain formal type. Side-payment games are imbedded in the more general class of no-side-payment games. It is shown that to a...