AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
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Cites work
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- Conditional value-at-risk: optimization approach
- Risk capital allocation by coherent risk measures based on one-sided moments.
- Variance vs downside risk: Is there really that much difference?
Cited in
(only showing first 100 items - show all)- The link between the Shapley value and the beta factor
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- Theoretical sensitivity analysis for quantitative operational risk management
- GlueVaR risk measures in capital allocation applications
- Relative bound and asymptotic comparison of expectile with respect to expected shortfall
- Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
- An axiomatic characterization of capital allocations of coherent risk measures
- Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
- Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
- \( \tau \)-value for risk capital allocation problems
- Capital allocation for credit portfolios with kernel estimators
- Risk contributions of lambda quantiles
- Factor risk quantification in annuity models
- Compositional risk capital allocations
- Sector concentration risk: a model for estimating capital requirements
- Financial risk measurement with imprecise probabilities
- Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity
- Measuring marginal risk contributions in credit portfolios
- Systemic risk measures on general measurable spaces
- Risk contributions: duality and sensitivity
- Generalized Gini correlation and its application in data-mining
- Simulating risk contributions of credit portfolios
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- Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure
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- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- Estimation of risk contributions with MCMC
- Egalitarian equivalent capital allocation
- Risk allocation through shapley decompositions, with applications to variable annuities
- Resolving a clearing member's default a Radner equilibrium approach
- Asymptotic capital allocation based on the higher moment risk measure
- Some results on the CTE-based capital allocation rule
- Axiomatic risk sharing and capital allocation
- Systemic risk: an asymptotic evaluation
- Capital allocation with multivariate risk measures: an axiomatic approach
- Dynamic capital allocation rules via BSDEs: an axiomatic approach
- Forecasting compositional risk allocations
- Coherent risk measures, coherent capital allocations and the gradient allocation principle
- Applications of axiomatic capital allocation and generalized weighted allocation
- Model risk of contingent claims
- On the impossibility of fair risk allocation
- Risk parity with expectiles
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- Capital allocation for cash-subadditive risk measures: from BSDEs to BSVIEs
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- Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors
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- Weighted Pricing Functionals With Applications to Insurance
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- Haezendonck-Goovaerts capital allocation rules
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- Axiomatization of residual income and generation of financial securities
- Some remarks on capital allocation by percentile layer
- Avoiding zero probability events when computing value at risk contributions
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- Dynamic capital allocation with irreversible investments
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- Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
- Drawdown: from practice to theory and back again
- Excess based allocation of risk capital
- Capital allocation for set-valued risk measures
- An impossibility theorem on capital allocation
- On two approaches to coherent risk contribution
- Allocation of Capital Between Assets and Liabilities
- Risk redistribution games with dual utilities
- To split or not to split: Capital allocation with convex risk measures
- Capital allocation rules and acceptance sets
- Sharing risk -- an economic perspective
- Extended gradient of convex function and capital allocation
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
- Forecasting and backtesting gradient allocations of expected shortfall
- Capital allocation for portfolios with non-linear risk aggregation
- Preservation of risk in capital markets
- Allocation of risk capital on an internal market
- Management of a capital stock by Strotz's naive planner
- Multiobjective optimization of credit capital allocation in financial institutions
- Determining and Allocating Diversification Benefits for a Portfolio of Risks
- Model-free computation of risk contributions in credit portfolios
- Capital allocation with multivariate convex risk measures
- A dynamic model of central counterparty risk
- Measuring the tail risk: an asymptotic approach
- Holistic principle for risk aggregation and capital allocation
- A capital allocation based on a solvency exchange option
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