Fair estimation of capital risk allocation

DOI10.1515/strm-2019-0011zbMath1436.62487arXiv1902.10044OpenAlexW3007346650MaRDI QIDQ2173274

Yanyan Li

Publication date: 22 April 2020

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.10044

zbMATH Keywords

value-at-riskrisk measuresexpected shortfallcapital allocationtail-value-at-riskEuler principleasymptotic fairnessbacktesting capital allocationfair capital allocation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Credit risk (91G40) Risk models (general) (91B05)

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Weighted V\@R and its properties
• To split or not to split: Capital allocation with convex risk measures
• Elicitability and backtesting: perspectives for banking regulation
• The asymptotic distribution of the trimmed mean
• Coherent Measures of Risk
• COHERENCE AND ELICITABILITY
• Stochastic Finance
• A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK
• On Kusuoka Representation of Law Invariant Risk Measures
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION

This page was built for publication: Fair estimation of capital risk allocation