risk aggregation. The so-called "square-root formula" uses correlation parameters between, for example, market risk, non …-life insurance risk and default risk to determine the company's aggregate capital requirement. To support decision-making, companies … will allocate the required capital back to business segments and risk drivers. We demonstrate that capital allocations …

According to recent research, diversification across risk factors (or investment styles) proves to be more efficient … worthwhile to combine risk factors in a dynamic manner, in a process that we call Dynamic Risk Allocation (DRA). Building a DRA … process.Our main finding is that risk factor allocation largely replaces traditional global equity and bond market premiums as …

). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the …

). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the …