Intragroup transfers, intragroup diversification and their risk assessment
详细信息 查看全文
- 作者：Andreas Haier ; Ilya Molchanov ; Michael Schmutz
- 关键词：Fungibility risks ; Intragroup diversification ; Intragroup transactions ; Set ; valued risk measures ; Risk assessments for groups ; Solvency tests for groups
- 刊名：Annals of Finance
- 出版年：2016
- 出版时间：December 2016
- 年：2016
- 卷：12
- 期：3-4
- 页码：363-392
- 全文大小：
- 刊物主题：Finance, general; Economic Theory/Quantitative Economics/Mathematical Methods; Quantitative Finance; Macroeconomics/Monetary Economics//Financial Economics;
- 出版者：Springer Berlin Heidelberg
- ISSN：1614-2454
- 卷排序：12
文摘
When assessing group solvency, an important question is to what extent intragroup transfers may be taken into account, as this determines to which extent diversification can be achieved. We suggest a framework to explicitly describe the families of admissible transfers that range from the free movement of capital to excluding any transactions. The constraints on admissible transactions are described as random closed sets. The paper focuses on the corresponding solvency tests that amount to the existence of acceptable selections of the random sets of admissible transactions.