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- Title
Intragroup transfers, intragroup diversification and their risk assessment.
- Authors
Haier, Andreas; Molchanov, Ilya; Schmutz, Michael
- Abstract
When assessing group solvency, an important question is to what extent intragroup transfers may be taken into account, as this determines to which extent diversification can be achieved. We suggest a framework to explicitly describe the families of admissible transfers that range from the free movement of capital to excluding any transactions. The constraints on admissible transactions are described as random closed sets. The paper focuses on the corresponding solvency tests that amount to the existence of acceptable selections of the random sets of admissible transactions.
- Subjects
PORTFOLIO diversification; RISK assessment; MATHEMATICAL analysis; RANDOM sets; ECONOMIC research
- Publication
Annals of Finance, 2016, Vol 12, Issue 3/4, p363
- ISSN
1614-2446
- Publication type
Article
- DOI
10.1007/s10436-016-0284-6