Fair risk allocation in illiquid markets
نویسندگان
چکیده
منابع مشابه
Fair risk allocation in illiquid markets
Let us consider a financially constrained leveraged financial firm having some divisions which have invested into some risky assets. Using coherent measures of risk the sum of the capital requirements of the divisions is larger than the capital requirement of the firm itself, there is some diversification benefit that should be allocated somehow for proper performance evaluation of the division...
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ژورنال
عنوان ژورنال: Finance Research Letters
سال: 2017
ISSN: 1544-6123
DOI: 10.1016/j.frl.2016.11.007