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19.11.2016 | Research Article

Intragroup transfers, intragroup diversification and their risk assessment

verfasst von: Andreas Haier, Ilya Molchanov, Michael Schmutz

Erschienen in: Annals of Finance | Ausgabe 3-4/2016

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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.

Vorheriger Artikel Smooth investment

Nächster Artikel Impact of risk aversion and countervailing tax in oligopoly

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For simplicity of representation we consider no hybrid instruments in this paper and we also do not enter in the important but non-mathematical debate about legal requirements IGTs should satisfy.

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E.g. the terminal position of the legal entity usually depends on some risk factors (equity, interest rates, mortality etc.). In the stand-alone case the risk factor models do not need to be the same. In the granular case the terminal positions are modeled based on the same risk factors.

For simplicity of the representation we ignore here subtleties regarding the so-called (a) symmetric valuation. For a discussion of participation in subsidiaries we refer to Sect. 7.

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Titel: Intragroup transfers, intragroup diversification and their risk assessment
verfasst von: Andreas Haier
Ilya Molchanov
Michael Schmutz
Publikationsdatum: 19.11.2016
Verlag: Springer Berlin Heidelberg
Erschienen in: Annals of Finance / Ausgabe 3-4/2016
Print ISSN: 1614-2446
Elektronische ISSN: 1614-2454
DOI: https://doi.org/10.1007/s10436-016-0284-6

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