scientific article; zbMATH DE number 1538071
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Publication:4518931
zbMATH Open0958.91019MaRDI QIDQ4518931FDOQ4518931
Authors: L. Overbeck 
Publication date: 8 April 2001
Title of this publication is not available (Why is that?)
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- Capital allocation for credit portfolios with kernel estimators
- Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
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- Numerical aspects of loan portfolio optimization
- A generalization of expected shortfall based capital allocation
- Capital allocation based on the tail covariance premium adjusted
- Optimal capital allocation in a hierarchical corporate structure
- Weighted risk capital allocations in the presence of systematic risk
- CMPH: a multivariate phase-type aggregate loss distribution
- DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS
- Risk Management and Capital Allocation for Non-Life Insurance Companies
- A Value-At-Risk Calculation of Required Reserves for Credit Risk in Corporate Lending Portfolios
- Haezendonck-Goovaerts capital allocation rules
- Some remarks on capital allocation by percentile layer
- Excess based allocation of risk capital
- Economic Capital Allocation for Corporate Borrowers Credit Risk Coverage
- SYSTEMIC RISK: AN ASYMPTOTIC EVALUATION
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- Large-Scale Loan Portfolio Selection
- Multiobjective optimization of credit capital allocation in financial institutions
- An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
- A capital allocation based on a solvency exchange option
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