An efficient approach to quantile capital allocation and sensitivity analysis

DOI10.1111/MAFI.12211MaRDI QIDQ5204854zbMATH OpenOpenAlexWikidataFDO

Authors Vali Asimit, Ruodu Wang, Alex Yu, Liang Peng

Publication date 5 December 2019

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://openaccess.city.ac.uk/id/eprint/21107/1/Final.pdf

zbMATH Keywords

bootstrapcapital allocationexpected shortfallnonparametric estimationsensitivity analysisvalue-at-risk

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Financial networks (including contagion, systemic risk, regulation) (91G45) Statistical methods; risk measures (91G70)

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Cited in

(23)

• Capital allocation rules and acceptance sets
• An asymptotic study of systemic expected shortfall and marginal expected shortfall
• Avoiding zero probability events when computing value at risk contributions
• Stop-loss protection for a large P2P insurance pool
• Efron's asymptotic monotonicity property in the Gaussian stable domain of attraction
• Modality for scenario analysis and maximum likelihood allocation
• \( \tau \)-value for risk capital allocation problems
• Haezendonck-Goovaerts capital allocation rules
• Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
• PELVE: probability equivalent level of VaR and ES
• Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis
• scientific article; zbMATH DE number 842101 (Why is no real title available?)
• An impossibility theorem on capital allocation
• Simulating risk measures via asymptotic expansions for relative errors
• Peer-to-peer risk sharing with an application to flood risk pooling
• Holistic principle for risk aggregation and capital allocation
• Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
• Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management
• Estimating the VaR-induced Euler allocation rule
• Quantifying systemic risk: conditional interval risk measures and their applications
• A theory of multivariate stress testing
• Efficient and proper generalised linear models with power link functions
• Regressions under Adverse Conditions

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