Shapley value
Game theory plays well for capital management
Barclays quants use Shapley method to optimise capital allocation
Reduced-form capital optimisation
A linear approximation to an allocation technique provides a solution for banks’ capital managment
Shapley allocation, diversification and services in operational risk
In this paper, the authors propose a method of allocating operational risk regulatory capital using a closed-form Shapley method, applicable to a large number of business units (BUs).
Organising the allocation
Yadong Li, Marco Naldi, Jeffrey Nisen and Yixi Shi propose a new capital allocation method