标题： 风险资本在由修改的预期亏损引起的成本合作博弈中的分配 显示英文标题

标题： Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall

摘要： 标准的相干风险度量理论未能将个体机构视为一个可能自身经历不稳定并可能向市场参与者传播新风险源的系统的一部分。 在遵循Shapley和Shubik（1969）采用的方法的基础上，本文提出了一种合作市场博弈，其中代理人和机构可以扮演相同的角色。 我们考虑了一个多个机构的框架，其中一些机构共同经历困境事件，以评估它们对市场上其余机构的个体和集体影响。 为了进行此分析，我们定义了一个新的风险度量（SCoES），它推广了Acerbi（2002）的预期损失，并将风险性特征描述为陷入困境的机构之间进行的成本合作博弈的结果（Denault 2001采用了类似的方法）。 通过计算博弈的适当解概念，如Banzhaf--Coleman值和Shapley--Shubik值，来评估每个机构对向安全机构传播风险性的边际贡献。 显示英文摘要

摘要： The standard theory of coherent risk measures fails to consider individual institutions as part of a system which might itself experience instability and spread new sources of risk to the market participants. In compliance with an approach adopted by Shapley and Shubik (1969), this paper proposes a cooperative market game where agents and institutions play the same role can be developed. We take into account a multiple institutions framework where some of them jointly experience distress events in order to evaluate their individual and collective impact on the remaining institutions in the market. To carry out this analysis, we define a new risk measure (SCoES), generalising the Expected Shortfall of Acerbi (2002) and we characterise the riskiness profile as the outcome of a cost cooperative game played by institutions in distress (a similar approach was adopted by Denault 2001). Each institution's marginal contribution to the spread of riskiness towards the safe institutions in then evaluated by calculating suitable solution concepts of the game such as the Banzhaf--Coleman and the Shapley--Shubik values.