The prominence of the Euler allocation rule (EAR) is rooted in the fact that it is the only return on risk-adjusted capital (RORAC) compatible capital allocation rule. When the total regulatory capital is set using the value-at-risk (VaR), the EAR becomes -- using a statistical term -- the...

Under minimal assumptions, we prove that an empirical estimator of the tail conditional allocation (TCA), also known as the marginal expected shortfall, is consistent. Examples are provided to confirm the minimality of the assumptions. A simulation study illustrates the performance of the...