Allocation of risk capital on an internal market

DOI10.1016/J.EJOR.2013.09.005MaRDI QIDQ2256187zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Excess based allocation of risk capital
• An optimization approach to the dynamic allocation of economic capital
• How should the cost of joint risk capital be allocated for performance measurement?
• Raising and allocation capital principles as optimal managerial contracts
• Optimal capital allocation in a hierarchical corporate structure

Cites work

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

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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