(2003). Risk Management: Value at Risk and Beyond. Journal of the American Statistical Association: Vol. 98, No. 462, pp. 494-494.

Risk Management: Value at Risk and Beyond

We assess the empirical importance of changes in income and relative prices for structural transformation in the postwar United States. We explain two natural approaches to the data: sectors may be categories of final expenditure or value added; e.g., the service sector may be the final expenditure on services or the value added from service industries. We estimate preferences for each approach and find that with final expenditure income effects are the dominant force behind structural transformation, whereas with value-added categories price effects are more important. We show how the inputoutput structure of the United States can reconcile these findings. (JEL E21, L16)

/pdf/two-perspectives-on-preferences-and-structural-1ioaefbfsr.pdf

Two perspectives on preferences and structural transformation

/pdf/mathematics-without-numbers-an-introduction-to-the-study-of-1sqsjd3myn.pdf

Mathematics without numbers: an introduction to the study of logic

We study the problem of sharing the revenue from broadcasting sport events, among participating players. We provide direct, axiomatic and game-theoretical foundations for two focal rules: the equal-split rule and concede-and-divide. The former allocates the revenues generated from broadcasting each game equally among the participating players in the game. The latter concedes players in each game the revenues generated by their respective fans and divides equally the residual. We also provide an application studying the case of sharing the revenue from broadcasting games in La Liga, the Spanish Football League. We show that hybrid schemes, combining our rules with lower bounds and performance measures, yield close outcomes to the current allocation being implemented by the Spanish National Professional Football League Association.

/pdf/sharing-the-revenues-from-broadcasting-sport-events-5ef02j9s4p.pdf

Sharing the Revenues from Broadcasting Sport Events

I feel that PR could best be achieved by allowing MPs to job share.
Put simply the percentage of the hours worked by each MP should

On Proportional Representation

This paper analyzes how to choose a delegation, a committee to represent a society such as in a peace conference. We propose normative conditions and seek optimal, consistent, neutral and non-manipulable ways to choose a delegation. We show that a novel class of threshold rules are characterized by these criteria. The rules impose that a delegation is chosen when its combined support in the society first reaches a particular percentage of the public opinion - depending on the size of the delegation. Conversely, minority opinions that are not reflected in the delegation should always be below a threshold, which follows a geometric series.

/pdf/how-to-choose-a-delegation-for-a-peace-conference-41bok7okbm.pdf

How to choose a delegation for a peace conference

We consider a situation in which agents have mutual claims on each other, summarized in a liability matrix. Agents' assets might be insufficient to satisfy their liabilities leading to defaults. We assume the primitives to be denoted in some unit of account. In case of default, bankruptcy rules are used to specify the way agents are going to be rationed. We present a convenient representation of bankruptcy rules. A clearing payment matrix is a payment matrix consistent with the prevailing bankruptcy rules that satisfies limited liability and priority of creditors. Both clearing payment matrices and the corresponding values of equity are not uniquely determined. We provide bounds on the possible levels equity can take. We analyze decentralized clearing processes and show the convergence of any such process in finitely many steps to the least clearing payment matrix. When the unit of account is sufficiently small, all decentralized clearing processes lead essentially to the same value of equity as a centralized clearing procedure. As a policy implication, it is not necessary to collect and process all the sensitive data of all the agents simultaneously and run a centralized clearing procedure.

/pdf/decentralized-clearing-in-financial-networks-2l495bv67a.pdf

Decentralized Clearing in Financial Networks

We provide two new characterizations of exact games. First, a game is exact if and only if it is exactly balanced; and second, a game is exact if and only if it is totally balanced and overbalanced. The condition of exact balancedness is identical to the one of balancedness, except that one of the balancing weights may be negative while for overbalancedness one of the balancing weights is required to be non-positive and no weight is put on the grand coalition. Exact balancedness and overbalancedness are both easy to formulate conditions with a natural game-theoretic interpretation and are shown to be useful in applications. Using exact balancedness we show that exact games are convex for the grand coalition and we provide an alternative proof that the classes of convex and totally exact games coincide. We provide an example of a game that is totally balanced and convex for the grand coalition,but not exact. Finally we relate classes of balanced, totally balanced, convex for the grand coalition, exact, totally exact, and convex games to one another.

Balancedness Conditions for Exact Games

A halozatok tarsadalmi es gazdasagi jelentősege vitathatatlan, alkalmazasai pedig szerteagazoak.
A kutatasi egyuttműkodesek halozata is fontos, negyunk ezen cikkbeli egyuttműkodesenek itt csak ket okat szeretnenk kiemelni. Egyreszt iden 10 eves Jackson es Watts (2002) cikke, amely a halozatok evoluciojat a sztochasztikusan stabil halozatokkal jelzi előre. Masreszt most lesz 70 eves Forgo Ferenc Tanar Ur, akinek a tiszteletere ugy gondoltuk,
hogy osszefoglalunk ot, altalunk fontosnak tartott, az emlitett cikkhez kapcsolodo
penzugyi alkalmazast es nehany uj modellvaltozatot. Osszefoglalo jellegű cikkunk celja a
magyar olvasok kivancsisaganak felkeltese es nehany lehetseges kutatasi irany felvazolasa.

Pénzügyi hálózatok modellezése Jackson és Watts(2002) nyomán

A kockazat jo merese es elosztasa elengedhetetlen a bankok, biztositok, befektetesi alapok es egyeb penzugyi vallalkozasok belső tőkeallokaciojahoz vagy teljesitmenyertekelesehez. A cikkben bemutatjuk, hogy a koherens kockazati mertekek axiomait nem likvid portfoliok eseten is el lehet varni. Igy merve a kockazatot, ismertetunk a kockazatelosztasra vonatkozo ket kooperativ jatekelmeleti cikket. Az első optimista, eszerint mindig letezik stabil, az alegysegek minden koalicioja altal elfogadhato, altalanos modszer a kockazat (tőke) elosztasara. A masodik cikk pesszimista, mert azt mondja ki, hogy ha a stabilitas mellett igazsagosak is szeretnenk lenni, akkor egy lehetetlensegi tetelbe utkozunk. / === / Measuring and allocating risk properly are crucial for performance evaluation and internal
capital allocation of portfolios held by banks, insurance companies, investment funds and
other entities subject to fi nancial risk. We argue that the axioms of coherent measures of risk are valid for illiquid portfolios as well. Then, we present the results of two papers on allocating risk measured by a coherent measure of risk. Assume a bank has some divisions. According to the fi rst paper there is always a stable allocation of risk capital, which is not blocked by any coalition of the divisions, that is there is a core compatible allocation rule (we present some examples for risk allocation rules). The second paper considers two more natural requirements, Equal Treatment Property and Strong Monotonicity. Equal Treatment Property makes sure that similar divisions are treated symmetrically, that is if two divisions
make the same marginal risk contribution to all the coalition of divisions not containing them,
then the rule should allocate them the very same risk capital. Strong Monotonicity requires that if the risk environment changes in such a way that the marginal contribution of a division is not decreasing, then its allocated risk capital should not decrease either. However, if risk is evaluated by any coherent measure of risk, then there is no risk allocation rule satisfying Core Compatibility, Equal Treatment Property and Strong Monotonicity, we encounter an impossibility result.

Péter Csóka

Papers

How to choose a delegation for a peace conference

Decentralized Clearing in Financial Networks

Balancedness Conditions for Exact Games

Pénzügyi hálózatok modellezése Jackson és Watts(2002) nyomán

Tőkeallokáció nem likvid portfóliók esetén (Risk capital allocation in case of illiquid portfolios)