OCA

CRANOCAMaRDI QIDQ5984599FDOQ5984599

Optimal Capital Allocations

Jilber Urbina

Last update: 11 February 2023

Copyright license: GNU General Public License, version 2.0

Software version identifier: 0.1, 0.2, 0.3, 0.4, 0.5

Description

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>.

Cites work

• An application of capital allocation principles to operational risk and the cost of fraud

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