论文标题
在个人监管限制下的群体凝聚力
Group cohesion under individual regulatory constraints
论文作者
论文摘要
我们考虑一个由n个业务部门组成的小组。我们认为每个单元都有监管限制，更确切地说，每个业务部门的净资产必须属于一组可接受的风险，假定为凸锥。由于这些要求，在小组结构下运作的激励措施较少，因为创建一个单个业务部门或更改单位之间的责任重新分配可能允许减少所需的资本。我们分析了该集团从多元化效果中受益并节省资本成本的可能性。我们定义并研究了允许任何群体获得最小资本的风险措施，就好像它是一个单位，而不改变业务部门的责任，尽管有个人的可接受性限制。我们称这些风险措施有凝聚力的风险措施。
We consider a group consisting of N business units. We suppose there are regulatory constraints for each unit, more precisely, the net worth of each business unit is required to belong to a set of acceptable risks, assumed to be a convex cone. Because of these requirements, there are less incentives to operate under a group structure, as creating one single business unit, or altering the liability repartition among units, may allow to reduce the required capital. We analyse the possibilities for the group to benefit from a diversification effect and economise on the cost of capital. We define and study the risk measures that allow for any group to achieve the minimal capital, as if it were a single unit, without altering the liability of business units, and despite the individual admissibility constraints. We call these risk measures cohesive risk measures.
