Fair estimation of capital risk allocation (Q2173274)
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scientific article
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| default for all languages | No label defined |
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| English | Fair estimation of capital risk allocation |
scientific article |
Statements
Fair estimation of capital risk allocation (English)
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22 April 2020
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capital allocation
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fair capital allocation
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asymptotic fairness
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expected shortfall
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risk measures
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Euler principle
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value-at-risk
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tail-value-at-risk
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backtesting capital allocation
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0.8260341286659241
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0.8156822919845581
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0.807923436164856
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0.7962663769721985
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