Search Results - subject:"Risk capital allocation"

Enhancing gradient capital allocation with orthogonal convexity scenarios

Aigner, Philipp; Schlütter, Sebastian - 2023

Gradient capital allocation, also known as Euler allocation, is a technique used to redistribute diversified capital requirements among different segments of a portfolio. The method is commonly employed to identify dominant risks, assessing the risk-adjusted profitability of segments, and...

Persistent link: https://www.econbiz.de/10014282691

Enhancing gradient capital allocation with orthogonal convexity scenarios

Aigner, Philipp; Schlütter, Sebastian - 2023

Persistent link: https://www.econbiz.de/10014252258

Preference robust distortion risk measure and its application

Wang, Wei; Xu, Huifu - In: Mathematical finance : an international journal of … 33 (2023) 2, pp. 389-434

Persistent link: https://www.econbiz.de/10014278678

Fair risk allocation in illiquid markets

Csóka, Péter - 2015

Let us consider a financially constrained leveraged financial firm having some divisions which have invested into some risky assets. Using coherent measures of risk the sum of the capital requirements of the divisions is larger than the capital requirement of the firm itself, there is some...

Persistent link: https://www.econbiz.de/10011444422

Allocation of risk capital based on iso-entropic coherent risk measure

Zheng, Chengli; Chen, Yan - In: Journal of Industrial Engineering and Management (JIEM) 8 (2015) 2, pp. 530-553

Purpose: The potential of diversified portfolio leads to the risk capital allocation problem. There are many kinds of … better method, we propose a new risk measure to be the base of risk capital allocation rule. Design/methodology/approach: We …(IE), the other one is to combine the minimal excess allocation(EBA) principle and IE into risk capital allocation. The iso …

Persistent link: https://www.econbiz.de/10011939213

Fair risk allocation in illiquid markets

Csoka, Peter - Közgazdaság-tudományi Intézet, Közgazdaság- és … - 2015

Persistent link: https://www.econbiz.de/10011253012

Fair risk allocation in illiquid markets

Csóka, Péter - 2015

Persistent link: https://www.econbiz.de/10010481803

Allocation of risk capital based on iso-entropic coherent risk measure

Zheng, Chengli; Chen, Yan - In: Journal of industrial engineering and management : JIEM 8 (2015) 2, pp. 530-553

Persistent link: https://www.econbiz.de/10011914352

Risk Allocation under Liquidity Constraints

Csóka, Péter; Herings, P. Jean-Jacques - 2014

Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity policy specifies state-dependent liquidity requirements...

Persistent link: https://www.econbiz.de/10010398404

Properties of risk capital allocation methods: Core Compatibility, Equal Treatment Property and Strong Monotonicity

Balog, Dóra; Bátyi, Tamás László; Csóka, Péter; … - 2014

In finance risk capital allocation raises important questions both from theoretical and practical points of view. How … assign this to different business units? We use an axiomatic approach to examine risk capital allocation, that is we call for …

Persistent link: https://www.econbiz.de/10010494585