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Capital Games: Financial Risk Meets Cooperative Game Theory
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Several financial risk measures, such as VaR and CaR, have been proposed to be used by financial institutions. Due to diversification, the risk present in a portfolio obtained from the aggregation of individual portfolios is typically smaller than the sum of the risks of individual components, thus allowing for significant capital savings as portofolios are aggregated. In this paper we show that capital can be allocated in a financial institution, in an economically meaningful way, by means of a simple application of the Shapley Value for cooperative games. We also use the results obtained to show how to determine the associated returns to capital and management.
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D'Orey, Vasco, Capital Games: Financial Risk Meets Cooperative Game Theory (1999). FEUNL Working Paper Series No. 358