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RISK CAPITAL DISTRIBUTION BASED ON COOPERATIVE GAMES
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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
799
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0.0 (0 votes)
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 Feller V. (1984): Vvedenie v teoriyu veroyatnostej i ee prilozheniya. T. 1. M.: Mir.
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 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.

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