risky assets. Using coherent measures of risk the sum of the capital requirements of the divisions is larger than the … performance evaluation of the divisions. In this paper we use cooperative game theory and simulation to assess the possibility to … jointly satisfy three natural fairness requirements for allocating risk capital in illiquid markets: Core Compatibility, Equal …

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 allocate risk satisfying the natural requirements of (Solution) Core …

: Valuable Boundary -- Principle III: Risk Ignition -- Principle IV: Money -- Outside the VaR Boundary -- Principle V: Evolution …An innovative guide that identifies what distinguishes the best financial risk takers from the rest From 1987 to 1992 …, a small group of Wall Street quants invented an entirely new way of managing risk to maximize success: risk management …