. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity … also when taking liquidity considerations into account there is always a stable way to allocate risk. …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 … also when taking liquidity considerations into account there is always a stable way to allocate risk. …Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions …

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our … liquidity risk hedging. The imposition of stringent temporal restrictions on competing factor models shows that our model leads …

Shortfall – PSF – uses option theory to solve the problem that, under any circumstance, the risk amount is never greater than …This paper derives two new improved risk metrics LAPVaR and LAPSF. Traditional VaRDeltaNormal valuation exaggerates … market and liquidity risks to the point it could be larger than the actual portfolio value. Put VaR – PVaR – as well as Put …

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 …

in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density … indices, the regression based evaluation strategy is compared with a recently proposed methodology based on likelihood ratio … tests. It is demonstrated that misspecifications of forecasting models can be detected within the proposed regression …

In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the … direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets …

This paper considers the problem of measuring the exposure to dependence risk carried by a portfolio with an arbitrary … number of two-asset derivative contracts. We develop a worst-case risk measure computed over a set of dependence scenarios … exposure to dependence risk where usual sensitivity methods fail to reveal it. We also illustrate the ability of the proposed …

the basis of expected benefits since the resulting tax determined by the model is incompatible with any risk sharing …