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 …

The measurement and the allocation of risk are fundamental problems of portfolio management. Coherent measures of risk … provide an axiomatic approach to the former problem. In an environment given by a coherent measure of risk and the various … portfolios' realization vectors, risk allocation games aim at solving the second problem: How to distribute the diversification …

may destabilize insurance arrangements among the larger group. We therefore consider self-enforcing risk … must itself employ some self-enforcing risk-sharing agreement. We observe that the stability of subgroups is inimical to …) bounded size, a result in sharp contrast to the individual-deviation problem, and that the degree of risk-sharing in a …

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 …

of strategic risk on co-operation. We propose a criterion building on Harsanyi and Selten's (1988) risk dominance concept …