Везде
RISK CAPITAL DISTRIBUTION BASED ON COOPERATIVE GAMES
Table of contents
Annotation Estimate Publication content
References Comments
Share
QR
Metrics
RISK CAPITAL DISTRIBUTION BASED ON COOPERATIVE GAMES
Annotation
PII
S042473880000616-6-1
Publication type
Article
Status
Published
Authors
Sergei Shooters  Irina Mastyayeva
Edition
Issue №3
Pages
101-108
Abstract
The problem of coherent distribution of the risk capital of a credit institution is investigated. In terms of non-atomic cooperative game theory, an approach is proposed that makes it possible to unambiguously determine the principle of coherent distribution of capital through the vector Aumana-Shapley. For the risk measure VAR, an explicit form of the solution to the problem is obtained and demonstrated by the example of capital allocation to cover operational risk credit bank.
Keywords
coherent distribution, risk capital, non-atomic cooperative game theory, Aumann – Shapley vector, operational risk, credit bank
Date of publication
01.07.2010
Number of purchasers
2
Views
795
Readers community rating
0.0 (0 votes)
Cite   Download pdf
1

References



Additional sources and materials

Auman R., Shepli L. (1997): Znacheniya dlya neatomicheskikh igr. M.: Mir.
 Bondareva O.N. (1963): Nekotorye primeneniya metodov linejnogo programmirovaniya k teorii kooperativnykh igr // Problemy kibernetiki. T. 10.
 Dubrov A.M., Lagosha B.A., Khrustalyov E.Yu. (2000): Modelirovanie riskovykh situatsij v ehkonomike i biznese. M.: Fin. i stat.
 Lobanov A.A., Chugunov A.V. (2007): Ehntsiklopediya finansovogo risk-menedzhmenta. M.: Al'pina Biznes Buks.
 Men'shikov I.S., Shelagin D.A. (2007): Kooperativnoe raspredelenie riskovogo kapitala. M.: Vychislitel'nyj tsentr RAN.
 Mulen Eh. (1985): Teoriya igr s primerami iz matematicheskoj ehkonomiki. M.: Mir.
 Ukazanie TsBR (2004): Ukazanie TsBR ot 16.01.2004 № 1379-U (s izmeneniyami ot 10.07.2007) “Ob otsenke finansovoj ustojchivosti banka v tselyakh priznaniya ee dostatochnoj dlya uchastiya v sisteme strakhovaniya vkladov”.
 Feller V. (1984): Vvedenie v teoriyu veroyatnostej i ee prilozheniya. T. 1. M.: Mir.
 Arzner Ph., Delvaen F., Eber J.-M., Heath D. (1999): Coherent Measures of Risk // Math. Finance. Vol. 9. № 3.
 Basel II (2006): International Convergence of Capital Measurement and Capital Standards: a Revised Framework, Comprehensive Version // Bank for International Settlements. Basel, Switzerland.
 Denault M. (2001): Coherent Allocation of Risk Capital. Montreal: Encole des H.E.C.
 Panjer H. (2006): Operational risk: modeling analytics. N.Y.: John Wiley & Sons, Inc.

Comments

No posts found

Write a review
Translate