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Koherens kockázatmérés és tőkeallokáció
[Coherent risk measurement and capital allocation]

Author

Listed:
  • Csóka, Péter

Abstract

Bármennyire szeretne is egy bank (vállalat, biztosító) csak az üzletre koncentrálni, nem térhet ki a pénzügyi (hitel-, piaci, operációs, egyéb) kockázatok elől, amelyeket mérnie és fedeznie kell. A teljes fedezés vagy nagyon költséges, vagy nem is lehetséges, így a csőd elkerülésre minden gazdálkodó egységnek tartania kell valamennyi kockázatmentes, likvid tőkét. Koherens kockázatmérésre van szükség: az allokált tőkének tükröznie kell a kockázatokat - azonban még akkor is felmerül elosztási probléma, ha jól tudjuk mérni azokat. A diverzifikációs hatásoknak köszönhetően egy portfólió teljes kockázata általában kisebb, mint a portfóliót alkotó alportfóliók kockázatának összege. A koherens tőkeallokáció során azzal a kérdéssel kell foglalkoznunk, hogy mennyi tőkét osszunk az alportfóliókra, vagyis hogyan osszuk el „korrekt” módon a diverzifikáció előnyeit. Így megkapjuk az eszközök kockázathoz való hozzájárulását. A tanulmányban játékelmélet alkalmazásával, összetett opciós példákon keresztül bemutatjuk a kockázatok következetes mérését és felosztását, felhívjuk a figyelmet a következetlenségek veszélyeire, valamint megvizsgáljuk, hogy a gyakorlatban alkalmazott kockázatmérési módszerek [különösen a kockáztatott érték (VaR)] mennyire felelnek meg az elmélet által szabott követelményeknek.* Journal of Economics Literature (JEL) kód: C71, G21.

Suggested Citation

  • Csóka, Péter, 2003. "Koherens kockázatmérés és tőkeallokáció [Coherent risk measurement and capital allocation]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(10), pages 855-880.
    • Handle: RePEc:ksa:szemle:640
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    References listed on IDEAS

    as
    1. Pearson, Neil D. & Smithson, Charles, 2002. "VaR: The state of play," Review of Financial Economics, Elsevier, vol. 11(3), pages 175-189.
    2. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    3. Fischer, T., 2003. "Risk capital allocation by coherent risk measures based on one-sided moments," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 135-146, February.
    4. William J. Baumol, 1963. "An Expected Gain-Confidence Limit Criterion for Portfolio Selection," Management Science, INFORMS, vol. 10(1), pages 174-182, October.
    5. Walter, György, 2002. "VaR-limitrendszer melletti hozammaximalizálás: a kaszinóhatás [Maximizing yield against a VaR limit system: the casino effect]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 212-234.
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    Cited by:

    1. Edina Berlinger & Kata Váradi, 2015. "Risk Appetite," Public Finance Quarterly, State Audit Office of Hungary, vol. 60(1), pages 49-62.
    2. Kóczy Á., László & Pintér, Miklós, 2011. "Az ellenzék ereje - általánosított súlyozott szavazási játékok [Minority power - generalized weighted voting games]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 543-551.

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    More about this item

    JEL classification:

    • C71 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Cooperative Games
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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