Ricerc@Sapienza

The standard theory of coherent risk measures fails to consider individual institutions as part of a system which might itself experience instability and spread new sources of risk to the market participants. This paper fills this gap and proposes a cooperative market game where agents and institutions play the same role. We take into account a multiple institutions framework where some institutions jointly experience distress, and evaluate their individual and collective impact on the remaining institutions in the market.

Research assessment exercises have now become common evaluation tools in a number of countries. These exercises have the goal of guiding merit-based public funds allocation, stimulating improvement of research productivity through competition and assessing the impact of adopted research support policies.