P
Péter Csóka
Researcher at Corvinus University of Budapest
Publications - 55
Citations - 406
Péter Csóka is an academic researcher from Corvinus University of Budapest. The author has contributed to research in topics: Market liquidity & Portfolio. The author has an hindex of 10, co-authored 53 publications receiving 334 citations. Previous affiliations of Péter Csóka include Maastricht University & Hungarian Academy of Sciences.
Papers
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On the Impossibility of Fair Risk Allocation
Péter Csóka,Miklós Pintér +1 more
TL;DR: In this article, the authors characterize the Shapley value on the class of totally balanced games and also on the classes of exact games and show that by using a coherent measure of risk it is impossible to allocate risk satisfying the natural requirements of (Solution) Core Compatibility, Equal Treatment Property and Strong Monotonicity.
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Decentralized clearing in financial networks
Péter Csóka,P.J.J. Herings +1 more
TL;DR: This work considers a situation in which agents have mutual claims on each other, summarized in a liability matrix, and analyzes decentralized clearing processes and shows the convergence of any such process in finitely many steps to the least clearing payment matrix.
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Decentralized Clearing in Financial Networks
TL;DR: In this paper, the authors consider a situation in which agents have mutual claims on each other, summarized in a liability matrix, and show the convergence of any such process in finitely many iterations to the least clearing payment matrix.
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Stable allocations of risk
TL;DR: It is shown that the class of risk allocation and totally balanced games coincide, hence a stable allocation of risk is always possible and any subcoalition may be subject to marginalization even in core allocations.
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Coherent measures of risk from a general equilibrium perspective
TL;DR: In this article, the authors investigated six axioms of monotonicity, subadditivity, positive homogeneity, and translation invariance using tools from general equilibrium (GE) theory.