1. The many Shapley values for explainable artificial intelligence: A sensitivity analysis perspective. (2024). Rabitti, Giovanni ; Borgonovo, Emanuele ; Plischke, Elmar.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:318:y:2024:i:3:p:911-926.

   Full description at Econpapers || Download paper

2. Extended gradient of convex function and capital allocation. (2023). Grechuk, Bogdan.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:305:y:2023:i:1:p:429-437.

   Full description at Econpapers || Download paper

3. .

   Full description at Econpapers || Download paper

4. Allocation of portfolio risk and outside options. (2022). Hiller, Tobias.
   In: Managerial and Decision Economics.
   RePEc:wly:mgtdec:v:43:y:2022:i:7:p:2845-2848.

   Full description at Econpapers || Download paper

5. Benefit attribution in financial systems with bilateral netting. (2022). Lim, Hanah.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002518.

   Full description at Econpapers || Download paper

6. On the Shapley value of liability games. (2022). Solymosi, Tamás ; Csóka, Péter ; Illes, Ferenc ; Csoka, Peter.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:300:y:2022:i:1:p:378-386.

   Full description at Econpapers || Download paper

7. A Data-driven Case-based Reasoning in Bankruptcy Prediction. (2022). Lessmann, Stefan ; Hardle, Wolfgang Karl ; Li, Wei.
   In: Papers.
   RePEc:arx:papers:2211.00921.

   Full description at Econpapers || Download paper

8. .

   Full description at Econpapers || Download paper

9. Cost gap, Shapley, or nucleolus allocation: Which is the best game?theoretic remedy for the low?risk anomaly?. (2021). Hiller, Tobias ; Auer, Benjamin R.
   In: Managerial and Decision Economics.
   RePEc:wly:mgtdec:v:42:y:2021:i:4:p:876-884.

   Full description at Econpapers || Download paper

10. Risk contributions of lambda quantiles. (2021). Pesenti, Silvana ; Peri, Ilaria ; Ince, Akif.
    In: Papers.
    RePEc:arx:papers:2106.14824.

    Full description at Econpapers || Download paper

11. On benefits of cooperation under strategic power. (2020). Mosquera, M A ; Meca, A ; Garcia-Jurado, I ; Fiestras-Janeiro, M G.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:288:y:2020:i:1:d:10.1007_s10479-019-03495-6.

    Full description at Econpapers || Download paper

12. On the Shapley value of liability games. (2020). Csóka, Péter ; Solymosi, Tamas ; Illes, Ferenc.
    In: IEHAS Discussion Papers.
    RePEc:has:discpr:2001.

    Full description at Econpapers || Download paper

13. A Raroc Valuation Scheme for Loans and Its Application in Loan Origination. (2020). Pham, Ha ; Engelmann, Bernd.
    In: Risks.
    RePEc:gam:jrisks:v:8:y:2020:i:2:p:63-:d:369585.

    Full description at Econpapers || Download paper

14. A generalization of the Aumann–Shapley value for risk capital allocation problems. (2020). De Waegenaere, Anja ; Norde, Henk ; Boonen, Tim J.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:282:y:2020:i:1:p:277-287.

    Full description at Econpapers || Download paper

15. Consistency between principal and agent with differing time horizons: Computing incentives under risk. (2019). Schosser, Josef.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:277:y:2019:i:3:p:1113-1123.

    Full description at Econpapers || Download paper

16. Capital Allocation in the Insurance Sector. (2017). Balog, Dóra.
    In: Financial and Economic Review.
    RePEc:mnb:finrev:v:16:y:2017:i:3:p:74-97.

    Full description at Econpapers || Download paper

17. Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency. (2017). Wong, Wing-Keung ; Xiao, Zhijie.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:261:y:2017:i:2:p:666-678.

    Full description at Econpapers || Download paper

18. Risk capital allocation with autonomous subunits: The Lorenz set. (2016). Hougaard, Jens ; Smilgins, Aleksandrs .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:67:y:2016:i:c:p:151-157.

    Full description at Econpapers || Download paper

1. Acerbi, C. ; Scandolo, G. Liquidity risk theory and coherent measures of risk. 2008 Quantitative Finance. 8 681-692

2. Acerbi, C. ; Tasche, D. On the coherence of expected shortfall. 2002 Journal of Banking and Finance. 26 1487-1504

3. Artzner, P.F. ; Delbaen, F. ; Eber, J.M. ; Heath, D. Coherent measures of risk. 1999 Mathematical Finance. 9 203-228

4. Aumann, R.J. ; Shapley, L.S. . 1974 Princeton University Press:
   Paper not yet in RePEc: Add citation now
   
5. BCoBS, . 2014 Basel Committee on Banking Supervision. Basel: Bank for International Settlements:
   Paper not yet in RePEc: Add citation now
   

6. Buch, A. ; Dorfleitner, G. Coherent risk measures, coherent capital allocation and the gradient allocation principle. 2008 Insurance: Mathematics and Economics. 42 235-242

7. Cherny, A. ; Orlov, D. On two approaches to coherent risk contribution. 2011 Mathematical Finance. 21 557-571
   Paper not yet in RePEc: Add citation now
   

8. Cont, R. Empirical properties of asset returns: Stylized facts and statistical issues. 2001 Quantitative Finance. 1 223-236

9. Csóka, P. ; Herings, P.J.J. Risk allocation under liquidity constraints. 2014 Journal of Banking and Finance. 49 1-9

10. Csóka, P. ; Herings, P.J.J. ; Kóczy, L. Coherent measures of risk from a general equilibrium perspective. 2007 Journal of Banking and Finance. 31 2517-2534

11. Csóka, P. ; Herings, P.J.J. ; Kóczy, L. Stable allocations of risk. 2009 Games and Economic Behavior. 67 266-276

12. Csóka, P. ; Pintér, M. On the impossibility of fair risk allocation. 2016 The B.E. Journal of Theoretical Economics. 16 143-158
    Paper not yet in RePEc: Add citation now
    
13. Denault, M. Coherent allocation of risk capital. 2001 Journal of Risk. 4 1-34
    Paper not yet in RePEc: Add citation now
    
14. Girsanov, I.V. Lectures on mathematical theory of extremum problems. 1972 Springer-Verlag:
    Paper not yet in RePEc: Add citation now
    

15. Grechuk, B. The center of a convex set and capital allocation. 2015 European Journal of Operational Research. 243 628-636

16. Hamlen, S.S. ; Hamlen, W.A. ; Tschirhart, J.T. The use of core theory in evaluating joint cost allocation games. 1977 The Accounting Review. 52 616-627
    Paper not yet in RePEc: Add citation now
    

17. Homburg, C. ; Scherpereel, P. How should the cost of joint risk capital be allocated for performance measurement?. 2008 European Journal of Operational Research. 187 208-217

18. Hougaard, J.L. ; Smilgins, A. Risk capital allocation with autonomous subunits: The lorenz set. 2016 Insurance: Mathematics and Economics. 67 151-157

19. Jorion, P. . 2007 McGraw - Hill:
    Paper not yet in RePEc: Add citation now
    

20. Kalkbrener, M. An axiomatic approach to capital allocation. 2005 Mathematical Finance. 15 425-437

21. Kim, J.H.T. ; Hardy, M.R. A capital allocation based on a solvency exchange option. 2009 Insurance: Mathematics and Economics. 44 357-366

22. Kondor, I. ; Pafka, S.z. ; Nagy, G. Noise sensitivity of portfolio selection under various risk measures. 2007 Journal of Banking and Finance. 31 1545-1573

23. Krokhmal, P. ; Zabarankin, M. ; Uryasev, S. Modeling and optimization of risk. 2011 Surveys in Operations Research and Management Science. 16 49-66
    Paper not yet in RePEc: Add citation now
    

24. Lewandowski, D. ; Kurowicka, D. ; Joe, H. Generating random correlation matrices based on vines and extended onion method. 2009 Journal of Multivariate Analysis. 100 1989-2001

25. Mandelbrot, B. The variation of certain speculative prices. 1963 The Journal of Business. 36 394-419

26. Peleg, B. ; Sudhölter, P. . 2007 Springer Science & Business Media:
    Paper not yet in RePEc: Add citation now
    
27. Schmeidler, D. The nucleolus of a characteristic function game. 1969 SIAM Journal on Applied Mathematics. 17 1163-1170
    Paper not yet in RePEc: Add citation now
    
28. Shapley, L.S. A value for n-person games. 1953 En : Kuhn, H.W. ; Tucker, A.W. Contributions to the theory of games II, Annals of Mathematics Studies. Princeton University Press: Princeton
    Paper not yet in RePEc: Add citation now
    

29. Tijs, S.H. Bounds for the core of a game and the Ï„-value. 1981 En : Moeschlin, O. ; Pallaschke, D. Game theory and mathematical economics. North Holland Publishing Company: Amsterdam

30. Tijs, S.H. ; Driessen, T.S.H. Game theory and cost allocation problems. 1986 Management Science. 32 1015-1028

31. Valdez, E.A. ; Chernih, A. Wang’s capital allocation formula for elliptically contoured distributions. 2003 Insurance: Mathematics and Economics. 33 517-532

32. van Gulick, G. ; De Waegenaere, A. ; Norde, H. Excess based allocation of risk capital. 2012 Insurance: Mathematics and Economics. 50 26-42

33. Young, H.P. Monotonic solutions of cooperative games. 1985 International Journal of Game Theory. 14 65-72
    Paper not yet in RePEc: Add citation now
    

1. The Effect of Regulatory Requirements and ESG Promotion on Market Liquidity. (2023). Hever, Judit ; Csoka, Peter.
   In: MNB Working Papers.
   RePEc:mnb:wpaper:2023/1.

   Full description at Econpapers || Download paper

2. The effect of funding liquidity regulation and ESG promotion on market liquidity. (2023). Csoka, Peter ; Hever, Judit.
   In: CERS-IE WORKING PAPERS.
   RePEc:has:discpr:2307.

   Full description at Econpapers || Download paper

3. The liquidity risk–financial performance nexus: Evidence from hybrid financial institutions. (2022). Adusei, Michael.
   In: Managerial and Decision Economics.
   RePEc:wly:mgtdec:v:43:y:2022:i:1:p:31-47.

   Full description at Econpapers || Download paper

4. Empirical analysis of the illiquidity premia of German real estate securities. (2022). Walther, Thomas ; Kuster-Simic, Andre ; Paul, Thomas.
   In: Financial Markets and Portfolio Management.
   RePEc:kap:fmktpm:v:36:y:2022:i:2:d:10.1007_s11408-021-00398-0.

   Full description at Econpapers || Download paper

5. Star-Shaped deviations. (2022). Moresco, Marlon Ruoso ; Righi, Marcelo Brutti.
   In: Papers.
   RePEc:arx:papers:2207.08613.

   Full description at Econpapers || Download paper

6. Price mediated contagion through capital ratio requirements with VWAP liquidation prices. (2021). Feinstein, Zachary ; Banerjee, Tathagata.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:295:y:2021:i:3:p:1147-1160.

   Full description at Econpapers || Download paper

7. Star-shaped acceptability indexes. (2021). Righi, Marcelo Brutti.
   In: Papers.
   RePEc:arx:papers:2110.08630.

   Full description at Econpapers || Download paper

8. .

   Full description at Econpapers || Download paper

9. Spectral risk measure of holding stocks in the long run. (2020). Szabó, Dávid ; Csóka, Péter ; Szabo, David Zoltan ; Bihary, Zsolt.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:295:y:2020:i:1:d:10.1007_s10479-020-03678-6.

   Full description at Econpapers || Download paper

10. A piaci likviditás és a szabályozás kapcsolatának vizsgálata általános egyensúlyelméleti modellkeretben. (2020). Hever, Judit.
    In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).
    RePEc:ksa:szemle:1915.

    Full description at Econpapers || Download paper

11. Liquidity, implied volatility and tail risk: A comparison of liquidity measures. (2020). Righi, Marcelo Brutti ; Ramos, Henrique Pinto.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301071.

    Full description at Econpapers || Download paper

12. Bigger Is Not Always Safer: A Critical Analysis of the Subadditivity Assumption for Coherent Risk Measures. (2019). Rau-Bredow, Hans.
    In: Risks.
    RePEc:gam:jrisks:v:7:y:2019:i:3:p:91-:d:260962.

    Full description at Econpapers || Download paper

13. Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility. (2019). Brigo, Damiano ; Armstrong, John.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:101:y:2019:i:c:p:122-135.

    Full description at Econpapers || Download paper

14. A részvénytartás spektrális kockázata hosszú távon. (2018). Csóka, Péter ; Kondor, Gabor ; Bihary, Zsolt.
    In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).
    RePEc:ksa:szemle:1782.

    Full description at Econpapers || Download paper

15. Financial statements based bank risk aggregation. (2018). Li, jianping ; Lee, Cheng Few ; Wei, LU ; Wu, Dengsheng ; Zhu, Xiaoqian.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:50:y:2018:i:3:d:10.1007_s11156-017-0642-0.

    Full description at Econpapers || Download paper

16. Liquidity, Risk Measures, and Concentration of Measure. (2018). Lacker, Daniel.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:43:y:2018:i:3:p:813-837.

    Full description at Econpapers || Download paper

17. Spectral risk measure of holding stocks in the long run. (2018). Csóka, Péter ; Szabo, David Zoltan ; Bihary, Zsolt.
    In: IEHAS Discussion Papers.
    RePEc:has:discpr:1812.

    Full description at Econpapers || Download paper

18. Portfolio valuation under liquidity constraints with permanent price impact. (2018). Csóka, Péter ; Hever, Judit ; Csoka, Peter.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:26:y:2018:i:c:p:235-241.

    Full description at Econpapers || Download paper

19. Monetary Measures of Risk. (2018). Hamel, Andreas H.
    In: Papers.
    RePEc:arx:papers:1812.04354.

    Full description at Econpapers || Download paper

20. Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization. (2018). Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas ; Zhang, Rongju.
    In: Papers.
    RePEc:arx:papers:1803.11467.

    Full description at Econpapers || Download paper

21. A likviditás és a permanens árhatás szerepe a portfólióértékelésben. (2017). Hever, Judit.
    In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).
    RePEc:ksa:szemle:1702.

    Full description at Econpapers || Download paper

22. Fair risk allocation in illiquid markets. (2017). Csóka, Péter ; Csoka, Peter.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:21:y:2017:i:c:p:228-234.

    Full description at Econpapers || Download paper

23. Properties and comparison of risk capital allocation methods. (2017). Csóka, Péter ; Balog, Dóra ; Bátyi, Tamás ; Pinter, Miklos ; Csoka, Peter ; Batyi, Tamas Laszlo .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:259:y:2017:i:2:p:614-625.

    Full description at Econpapers || Download paper

24. Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach. (2017). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas.
    In: Papers.
    RePEc:arx:papers:1610.07694.

    Full description at Econpapers || Download paper

25. LIQUIDITY RISK AND INSTABILITIES IN PORTFOLIO OPTIMIZATION. (2016). Caccioli, Fabio ; Still, Susanne ; Marsili, Matteo ; Kondor, Imre.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:19:y:2016:i:05:n:s0219024916500357.

    Full description at Econpapers || Download paper

26. Doktoranduszhallgatók IV. Nyári Műhelye. MKE-PTE KTK, Pécs, 2016. június 3.. (2016). Sebestyén, Tamás ; Sebestyen, Tamas.
    In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).
    RePEc:ksa:szemle:1653.

    Full description at Econpapers || Download paper

27. Mit veszítünk a piaci súrlódásokkal?. A pénzügyi piacok mikrostruktúrája. (2015). Havran, Dániel ; Erb, Tamas .
    In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).
    RePEc:ksa:szemle:1537.

    Full description at Econpapers || Download paper

28. Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?. (2015). Váradi, Kata ; Havran, Dániel ; Varadi, Kata .
    In: IEHAS Discussion Papers.
    RePEc:has:discpr:1540.

    Full description at Econpapers || Download paper

29. Fair risk allocation in illiquid markets. (2015). Csóka, Péter ; Csoka, Peter.
    In: IEHAS Discussion Papers.
    RePEc:has:discpr:1509.

    Full description at Econpapers || Download paper

30. Liquidity, risk measures, and concentration of measure. (2015). Lacker, Daniel .
    In: Papers.
    RePEc:arx:papers:1510.07033.

    Full description at Econpapers || Download paper

31. Properties of risk capital allocation methods: Core Compatibility, Equal Treatment Property and Strong Monotonicity. (2014). Csóka, Péter ; Balog, Dóra ; Bátyi, Tamás ; Batyi, Tamas Laszlo ; Pinter, Miklos .
    In: IEHAS Discussion Papers.
    RePEc:has:discpr:1417.

    Full description at Econpapers || Download paper

32. Risk Allocation under Liquidity Constraints. (2014). Herings, P. Jean-Jacques ; Csóka, Péter ; Csoka, Peter.
    In: Working Papers.
    RePEc:fem:femwpa:2014.47.

    Full description at Econpapers || Download paper

33. Risk allocation under liquidity constraints. (2014). Herings, P. Jean-Jacques ; Csóka, Péter ; Csoka, Peter.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:49:y:2014:i:c:p:1-9.

    Full description at Econpapers || Download paper

34. Risk measuring under liquidity risk. (2014). ALLAJ, ERINDI.
    In: Papers.
    RePEc:arx:papers:1412.6745.

    Full description at Econpapers || Download paper

35. Dynamic Conic Finance via Backward Stochastic Difference Equations. (2014). Cialenco, Igor ; Bielecki, Tomasz R. ; Chen, Tao.
    In: Papers.
    RePEc:arx:papers:1412.6459.

    Full description at Econpapers || Download paper

36. Risk allocation under liquidity constraints. (2013). Herings, P. Jean-Jacques ; Csóka, Péter ; Csoka P., ; Herings P. J. J., .
    In: Research Memorandum.
    RePEc:unm:umagsb:2013057.

    Full description at Econpapers || Download paper

37. Konferencia a pénzügyi piacok likviditásáról. Third Annual Financial Market Liquidity Conference BCE Befektetések és Vállalati Pénzügy Tanszék-MTA KRTK KTI Játékelméleti Kutatócsoport-N. (2013). Váradi, Kata ; Havran, Dániel ; Csóka, Péter ; Csoka, Peter ; Varadi, Kata .
    In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).
    RePEc:ksa:szemle:1382.

    Full description at Econpapers || Download paper

38. Risk Allocation under Liquidity Constraints. (2013). Herings, P. Jean-Jacques ; Csóka, Péter ; Csoka, Peter.
    In: IEHAS Discussion Papers.
    RePEc:has:discpr:1331.

    Full description at Econpapers || Download paper

39. Coherent risk measures in general economic models and price bubbles. (2013). Kountzakis, C. ; Polyrakis, I. A..
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:49:y:2013:i:3:p:201-209.

    Full description at Econpapers || Download paper

40. Markets Evolution After the Credit Crunch. (2013). Bianchetti, Marco ; Carlicchi, Mattia .
    In: Papers.
    RePEc:arx:papers:1301.7078.

    Full description at Econpapers || Download paper

41. A formalization of double auction market dynamics. (2012). Tsang, Edward ; Masry, Shaimaa ; Olsen, Richard.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:13:y:2012:i:7:p:981-988.

    Full description at Econpapers || Download paper

42. Markets Evolution After the Credit Crunch. (2012). Carlicchi, Mattia .
    In: MPRA Paper.
    RePEc:pra:mprapa:44023.

    Full description at Econpapers || Download paper

43. Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR. (2012). Marco, Bianchetti ; Mattia, Carlicchi .
    In: MPRA Paper.
    RePEc:pra:mprapa:42248.

    Full description at Econpapers || Download paper

44. A proposal for impact-adjusted valuation: Critical leverage and execution risk. (2012). Farmer, J. ; Bouchaud, Jean-Philippe ; Caccioli, Fabio.
    In: Papers.
    RePEc:arx:papers:1204.0922.

    Full description at Econpapers || Download paper

45. Tőkeallokációs módszerek és tulajdonságaik a gyakorlatban. (2011). Pintér, Miklós ; Csóka, Péter ; Balog, Dóra ; Bátyi, Tamás ; Batyi, Tamas Laszlo ; Csoka, Peter ; Pinter, Miklos .
    In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).
    RePEc:ksa:szemle:1255.

    Full description at Econpapers || Download paper

46. On the Impossibility of Fair Risk Allocation. (2011). Pintér, Miklós ; Csóka, Péter ; Pinter, Miklos ; Csoka, Peter.
    In: IEHAS Discussion Papers.
    RePEc:has:discpr:1117.

    Full description at Econpapers || Download paper

47. On the impossibility of fair risk allocation. (2010). Pintér, Miklós ; Csóka, Péter ; Pinter, Miklos ; Csoka, Peter.
    In: MPRA Paper.
    RePEc:pra:mprapa:26515.

    Full description at Econpapers || Download paper

48. Credit Default Swaps Liquidity modeling: A survey. (2010). Brigo, Damiano ; Capponi, Agostino ; Predescu, Mirela.
    In: Papers.
    RePEc:arx:papers:1003.0889.

    Full description at Econpapers || Download paper

49. Why and how to integrate liquidity risk into a VaR-framework. (2008). Kaserer, Christoph ; Stange, Sebastian .
    In: CEFS Working Paper Series.
    RePEc:zbw:cefswp:200810.

    Full description at Econpapers || Download paper

Report date: 2025-02-03 08:05:18 || Missing content? Let us know