Search Results - subject:"Euler principle"

A new approach to risk attribution and its application in credit risk analysis

Frei, Christoph - In: Risks 8 (2020) 2, pp. 1-13

How can risk of a company be allocated to its divisions and attributed to risk factors? The Euler principle allows for … an economically justified allocation of risk to different divisions. We introduce a method that generalizes the Euler … principle to attribute risk to its driving factors when these factors affect losses in a nonlinear way. The method splits loss …

Persistent link: https://www.econbiz.de/10013200598

A new approach to risk attribution and its application in credit risk analysis

Frei, Christoph - In: Risks : open access journal 8 (2020) 2/65, pp. 1-13

Persistent link: https://www.econbiz.de/10012293012

Avoiding zero probability events when computing value at risk contributions

Koike, Takaaki; Saporito, Yuri; Targino, Rodrigo - In: Insurance 106 (2022), pp. 173-192

Persistent link: https://www.econbiz.de/10013380509

The Solvency II Standard Formula, linear geometry, and diversification

Paulusch, Joachim - In: Journal of Risk and Financial Management 10 (2017) 2, pp. 1-12

, Euler's Principle for the reallocation of risk capital applies and yields explicit formulas for capital allocation in the …

Persistent link: https://www.econbiz.de/10011843289

Fair estimation of capital risk allocation

Bielecki, Tomasz R.; Cialenco, Igor; Pitera, Marcin; … - In: Statistics & Risk Modeling 37 (2020) 1-2, pp. 1-24

Abstract In this paper, we develop a novel methodology for estimation of risk capital allocation. The methodology is rooted in the theory of risk measures. We work within a general, but tractable class of law-invariant coherent risk measures, with a particular focus on expected shortfall. We...

Persistent link: https://www.econbiz.de/10014621278

A new approach to optimal capital allocation for RORAC maximization in banks

Kang, Woo-Young; Poshakwale, Sunil S. - In: Journal of banking & finance 106 (2019), pp. 153-165

Persistent link: https://www.econbiz.de/10012224261