Risikokapital og allokering

Hans Abild Karlsson

Studenteropgave: Kandidatafhandlinger


This project examines the relations between elements from Finance theory and Game theory through a case about a financial institution that aims to allocate the risk capital from their portfolio amongst the subunits of the institution. This case is divided into four subcases that present four different investment scenarios in form of four different portfolio compositions. In order to determine the risk in a portfolio the two risk measures: Value at Risk and Expected Shortfall are described and used. The subunits of the institution initially invest individually and independent of each other, which is very common in many companies. In this thesis, it will be investigated how great the advantages of cooperating across the subunits can be. Furthermore, the implications of collaboration will be solved by using the four different allocation rules from Game Theory: Tau, Shapley, Nucleolus and Lorenz. In the analysis, the allocation rules show that there can be different ways of allocating risk capital. The purpose of allocating the risk capital using Game Theory is to find a fair allocation that provides incentive for the subunits to cooperate. The results of the investment scenarios showed a big difference in the reduction of risk capital. In the portfolios consisting of stocks from the same industry there was a relatively low saving of risk compared to portfolios consisting of stocks from different industries. In extension of this, the allocation solutions were affected by the composition of the portfolios. Finally, the project concludes that it is not possible to determine a preferred allocation rule as one could argue both for and against either of the four rules depending on the scenario investigated.

UddannelserCand.merc.mat Erhvervsøkonomi og Matematik, (Kandidatuddannelse) Afsluttende afhandling
Antal sider109
VejledereLars Peter Østerdal