Risk allocation under liquidity constraints
  • Metaadatok
Tartalom: http://real.mtak.hu/34619/
Archívum: MTA Könyvtár
Gyűjtemény: Status = Published


Type = Article
Cím:
Risk allocation under liquidity constraints
Létrehozó:
CsĂłka, PĂ©ter
Herings, P. Jean-Jacques
Kiadó:
Elsevier
Dátum:
2014
Téma:
HG Finance / pénzügy
HG4 Stock market, exchange / tőzsde
Tartalmi leírás:
Abstract 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 straightforward, 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.
Nyelv:
angol
Típus:
Article
PeerReviewed
info:eu-repo/semantics/article
Formátum:
text
Azonosító:
CsĂłka, PĂ©ter and Herings, P. Jean-Jacques (2014) Risk allocation under liquidity constraints. Journal of Banking and Finance, 49. pp. 1-9. ISSN 0378-4266
Kapcsolat:
MTMT:2779031; doi:10.1016/j.jbankfin.2014.08.017