We propose a new valuation principle for possibly non-traded assets based on an implicit definition of a benchmark. The valuation principle allows taking (default and shortfall) risk constraints explicitly into account. The resulting risk-adjusted value functional is monotonic, positively homogeneous, partially concave and allows for an additive allocation of risk-adjusted values of non-traded assets in a portfolio. The valuation principle is applied to the problem of hedging and pricing in incomplete markets. Furthermore, accounting for non-traded assets is considered and we derive a risk-adjusted balance sheet for non-deterministic cash streams.