全球智库信息集成服务系统(G2TT): Risk Allocation under Liquidity Constraints

G2TT

来源类型	FEEM working papers "Note di lavoro" series
规范类型	论文
	Risk Allocation under Liquidity Constraints
	Péter Csóka; P. Jean-Jacques Herings
发表日期	2014
出处	Climate Change and Sustainable Development
出版年	2014
语种	英语
摘要	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 policy specifies state-dependent liquidity requirements that a portfolio should obey. To comply with the liquidity policy, a financial entity may have to liquidate part of its assets, which is costly. The definition of a risk allocation game under liquidity constraints is not straight- forward, since the presence of a liquidity policy leads to externalities. We argue that the standard worst case approach should not be used here and present an alternative definition. We show that the resulting class of transferable utility games coincides with the class of totally balanced games. It follows from our results that also when taking liquidity considerations into account there is always a stable way to allocate risk. *** Suggested citation: Csóka, P., P. J.-J. Herings, (2014), 'Risk Allocation under Liquidity Constraints', Nota di Lavoro 47.2014, Milan, Italy: Fondazione Eni Enrico Mattei.
特色分类	C71;G10
关键词	Market Microstructure Coherent Measures of Risk Market Liquidity Portfolio Performance Evaluation Risk Capital Allocation Totally Balanced Games
URL	https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/risk-allocation-under-liquidity-constraints/
来源智库	Fondazione Eni Enrico Mattei (Italy)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/118297
推荐引用方式 GB/T 7714	Péter Csóka,P. Jean-Jacques Herings. Risk Allocation under Liquidity Constraints. 2014.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
2014591012501Nota_di（71KB）	智库出版物		限制开放	CC BY-NC-SA	浏览
2014591014254NDL2014（1151KB）	智库出版物		限制开放	CC BY-NC-SA	浏览