- PII
- S042473880000616-6-1
- DOI
- 10.7868/S0000616-6-1
- Publication type
- Article
- Status
- Published
- Authors
- Volume/ Edition
- Volume / 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
- Year of publication
- 2010
- Number of purchasers
- 2
- Views
- 856
RAS Social ScienceЭкономика и математические методы Economics and the Mathematical Methods
- ISSN (Print) 0424-7388
- ISSN (Online) 3034-6177
RISK CAPITAL DISTRIBUTION BASED ON COOPERATIVE GAMES
Индексирование
Scopus
Crossref
Higher Attestation Commission
At the Ministry of Education and Science of the Russian Federation
Scientific Electronic Library