Allocation of risk capital on an internal market

DOI10.1016/J.EJOR.2013.09.005zbMATH Open1305.91212OpenAlexW3121744115MaRDI QIDQ2256187FDOQ2256187

Authors: Rainer Baule 

Publication date: 19 February 2015

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.09.005

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zbMATH Keywords

financerisk managementauctions/biddingOR in banking

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Portfolio theory (91G10)

Cites Work

• Coherent measures of risk
• How should the cost of joint risk capital be allocated for performance measurement?
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Internal versus External Capital Markets
• Auctions of Shares
• Asymmetric Information, Incentives and Intrafirm Resource Allocation

Cited In (7)

• Informed headquarters and socialistic internal capital markets
• Premium allocation and risk avoidance in a large firm: A continuous model
• Managing Economic and Virtual Economic Capital Within Financial Conglomerates
• Internal vs. External risk measures: how capital requirements differ in practice
• Excess based allocation of risk capital
• Internal versus External Capital Markets
• Preservation of risk in capital markets

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