Arbeitspapier
Pooling, Pricing and Trading of Risks
Exchange of risks is considered here as a transferable-utility cooperative game. When the concerned agents are risk averse, there is a core imputation given by means of shadow prices on state-dependent claims. Like in finance, a risk can hardly be evaluated merely by its inherent statistical properties (in isolation from other risks). Rather, evaluation depends on the pooled risk and the convolution of individual preferences. Explored below are relations to finance with some emphasis on incompleteness. Included is a process of bilateral trade which converges to a price-supported core allocation.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 672
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Flåm, Sjur Didrik
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Flåm, Sjur Didrik
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2002
Ähnliche Objekte (12)
Pooling sovereignty risks: The case of environmental treaties and international debt
Pricing of idiosyncratic equity and variance risks
General Equilibrium Pricing of Trading Strategy Risk
A shapley value approach to pricing climate risks
Climate change financial risks: Pricing and portfolio allocation
Informed trading, short sales constraints and futures' pricing
Congestion Pricing, Slot Sales and Slot Trading in Aviation
Asset pricing with cohort-based trading in MBS markets
Financial intermediaries and emissions trading market development and pricing strategies
Pricing climate change risks: CAPM with rare disasters and stochastic probabilities
Pooling, tranching and credit expansion
Pooling Dynamic Conditional Correlation models
Pooling sovereignty risks: The case of environmental treaties and international debt
Pricing of idiosyncratic equity and variance risks
General Equilibrium Pricing of Trading Strategy Risk
A shapley value approach to pricing climate risks
Climate change financial risks: Pricing and portfolio allocation
Informed trading, short sales constraints and futures' pricing
Congestion Pricing, Slot Sales and Slot Trading in Aviation
Asset pricing with cohort-based trading in MBS markets
Financial intermediaries and emissions trading market development and pricing strategies
Pricing climate change risks: CAPM with rare disasters and stochastic probabilities
Pooling, tranching and credit expansion
Pooling Dynamic Conditional Correlation models
Pooling sovereignty risks: The case of environmental treaties and international debt
Pricing of idiosyncratic equity and variance risks
General Equilibrium Pricing of Trading Strategy Risk
A shapley value approach to pricing climate risks
Climate change financial risks: Pricing and portfolio allocation
Informed trading, short sales constraints and futures' pricing
Congestion Pricing, Slot Sales and Slot Trading in Aviation
Asset pricing with cohort-based trading in MBS markets
Financial intermediaries and emissions trading market development and pricing strategies
Pricing climate change risks: CAPM with rare disasters and stochastic probabilities
Pooling, tranching and credit expansion