The Marginal Cost of Risk, Risk Measures, and Capital Allocation
从利润最大化企业的经济基础出发，推导出正确的风险度量方法，发现其取决于具体情境，且用于定价和绩效评估的风险度量应基于经济基础，而非强加数学性质。
Financial institutions use risk measures to calculate the marginal capital cost when expanding the exposure to a certain risk within their portfolio. We reverse this approach by calculating the marginal cost based on economic fundamentals for a profit-maximizing firm and then by identifying the risk measure delivering the correct marginal cost. The resulting measure depends on context. Whereas familiar measures can be recovered in some circumstances, other circumstances yield unfamiliar forms. In all cases, the risk preferences of the institution’s claimants determine how the correct risk measure must weight various default states. Our results demonstrate that risk measures used for pricing and performance measurement should be chosen based on economic fundamentals and may not necessarily adhere to the mathematical properties typically imposed in the literature. This paper was accepted by Jerome B. Detemple, finance.