Allokering af Risikokapital

Omar Hussein Khader Al-Ali & Ismail Bassem Khatib

Student thesis: Master thesis

Abstract

s paper presents a case about a company that has several independent investment teams who are supposed to make investments which will prevent the company from going bankrupt. To investigate this, the paper examines how risk capital can be allocated between the investment teams. Based on the two well-known risk measures, Value at Risk and Expected Shortfall, this paper uses different allocation rules from Cooperative Game theory to allocate risk capital to several agents. Furthermore, this paper examines several investment strategies from the agents with the purpose to account for different investment scenarios for the company and compare these. The results showed that there are differences between the two risk measures, Value at Risk and Expected Shortfall. In extension of this, different investment scenarios, with the help of four allocation rules, allocated different amounts of risk capital to each agent and to each coalition between the agents. Finally, the investment scenarios were compared and discussed.

EducationsMSc in Mathematics , (Graduate Programme) Final Thesis
LanguageDanish
Publication date2018
Number of pages138
SupervisorsAleksandrs Smilgins