Risk Measurement with Spectral Capital Allocation

DOI10.1007/978-3-540-69179-2_7MaRDI QIDQ3542254zbMATH OpenOpenAlexFDO

Authors Maria Sokolova, L. Overbeck

Publication date 1 December 2008

Published in Applied Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-69179-2_7

Mathematics Subject Classification ID

Credit risk (91G40)

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Cited in

(10)

• Spectral risk measures: the risk quadrangle and optimal approximation
• Consistent modeling of risk averse behavior with spectral risk measures
• GlueVaR risk measures in capital allocation applications
• Extremal spectral risk measures and their applications in financial risk management
• Marginal Decomposition of Risk Measures
• Portfolio optimization based on spectral risk measures
• Maximum Spectral Measures of Risk with Given Risk Factor Marginal Distributions
• Copula conditional tail expectation for multivariate financial risks
• Spectral risk measure of holding stocks in the long run
• Weighted risk capital allocations

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