Allocation Method of Commercial Bank Economic Capital Based on Consistency Principle

Abstract:

Thesis consistency principle and game theory shapley value based method for Denault a qualitative improvements proposed for the commercial bank's economic capital allocation method. By introducing Yasumitsu conditions have been shapley value to meet the necessary and sufficient conditions for consistency, to find a judge shapley value meets the consistency of a more complete theory. This approach is consistent with the bank's overall optimal requirements, you can make the best commercial bank from the overall perspective of determining the risk contribution of each branch to evaluate operating performance, and ultimately determine the various branches of the annual economic capital limit.

• Periodical: Advanced Materials Research (Volumes 850-851)
• Pages: 1061-1064
• DOI: https://doi.org/10.4028/www.scientific.net/AMR.850-851.1061
• Online since: December 2013
• Authors: Song Lin Liu*, Zheng Mei Fu
• Keywords: Consistency Principle, Economic Capital Allocation, Risk Contribution, Shapley Value

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