CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK (Q3608733)
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scientific article; zbMATH DE number 5523709
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| English | CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK |
scientific article; zbMATH DE number 5523709 |
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CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK (English)
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6 March 2009
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capital allocation
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determining system
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dynamic coherent risk measure
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dynamic weighted V\@R
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extreme system
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generator
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risk contribution
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risk metrics
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0.90876514
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0.9041863
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0.8937225
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0.8909426
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0.88656723
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0.8822108
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0.8820721
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0.8812698
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0.8762314
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