OCA (Q5984599)
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Optimal Capital Allocations
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | OCA |
Optimal Capital Allocations |
Statements
Computes optimal capital allocations based on some standard principles such as Haircut, Overbeck type II and the Covariance Allocation Principle. It also provides some shortcuts for obtaining the Value at Risk and the Expectation Shortfall, using both the normal and the t-student distribution, see Urbina and Guillén (2014)<doi:10.1016/j.eswa.2014.05.017> and Urbina (2013)<http://hdl.handle.net/2099.1/19443>.
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11 February 2023
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