Pages that link to "Item:Q5692937"
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The following pages link to AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION (Q5692937):
Displaying 50 items.
- Insights to systematic risk and diversification across a joint probability distribution (Q282287) (← links)
- The center of a convex set and capital allocation (Q319165) (← links)
- Systemic risk measures on general measurable spaces (Q343813) (← links)
- Sector concentration risk: a model for estimating capital requirements (Q409790) (← links)
- Some remarks on capital allocation by percentile layer (Q487573) (← links)
- Capital allocation for portfolios with non-linear risk aggregation (Q506075) (← links)
- Multiobjective optimization of credit capital allocation in financial institutions (Q519000) (← links)
- The link between the Shapley value and the beta factor (Q524900) (← links)
- Capital allocation à la Aumann-Shapley for non-differentiable risk measures (Q723951) (← links)
- Relative bound and asymptotic comparison of expectile with respect to expected shortfall (Q784463) (← links)
- Management of a capital stock by Strotz's naive planner (Q844710) (← links)
- Coherent risk measures, coherent capital allocations and the gradient allocation principle (Q939355) (← links)
- Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors (Q984903) (← links)
- Some results on the CTE-based capital allocation rule (Q998305) (← links)
- To split or not to split: Capital allocation with convex risk measures (Q1017768) (← links)
- A capital allocation based on a solvency exchange option (Q1023096) (← links)
- How to measure single-name credit risk concentrations (Q1038404) (← links)
- Risk capital allocation by coherent risk measures based on one-sided moments. (Q1413388) (← links)
- Euler allocations in the presence of nonlinear reinsurance: comment on Major (2018) (Q1622506) (← links)
- Drawdown: from practice to theory and back again (Q1679554) (← links)
- A generalization of expected shortfall based capital allocation (Q1726872) (← links)
- Dynamic capital allocation with irreversible investments (Q1735043) (← links)
- Generalized Gini correlation and its application in data-mining (Q1741289) (← links)
- Measuring the tail risk: an asymptotic approach (Q1746754) (← links)
- Properties and comparison of risk capital allocation methods (Q1751856) (← links)
- Forecasting compositional risk allocations (Q1757613) (← links)
- Capital allocation rules and acceptance sets (Q2024123) (← links)
- Risk parity with expectiles (Q2030685) (← links)
- Extended gradient of convex function and capital allocation (Q2083970) (← links)
- Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation (Q2106746) (← links)
- An asymptotic study of systemic expected shortfall and marginal expected shortfall (Q2155852) (← links)
- Avoiding zero probability events when computing value at risk contributions (Q2172041) (← links)
- Fair estimation of capital risk allocation (Q2173274) (← links)
- Model-free computation of risk contributions in credit portfolios (Q2185453) (← links)
- Allocation of risk capital on an internal market (Q2256187) (← links)
- A generalization of the Aumann-Shapley value for risk capital allocation problems (Q2282512) (← links)
- Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models (Q2347111) (← links)
- Financial risk measurement with imprecise probabilities (Q2379328) (← links)
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions (Q2415974) (← links)
- Preservation of risk in capital markets (Q2417160) (← links)
- Excess based allocation of risk capital (Q2427804) (← links)
- Factor risk quantification in annuity models (Q2513616) (← links)
- GlueVaR risk measures in capital allocation applications (Q2513627) (← links)
- Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type (Q2656995) (← links)
- Modality for scenario analysis and maximum likelihood allocation (Q2657014) (← links)
- \( \tau \)-value for risk capital allocation problems (Q2661559) (← links)
- Haezendonck-Goovaerts capital allocation rules (Q2665852) (← links)
- Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation (Q2665868) (← links)
- Capital allocation with multivariate convex risk measures (Q2698586) (← links)
- Justification of per-unit risk capital allocation in portfolio credit risk models (Q2929379) (← links)
