Properties and comparison of risk capital allocation methods
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Publication:1751856
DOI10.1016/j.ejor.2016.10.052zbMath1395.91505OpenAlexW2548213636MaRDI QIDQ1751856
Dóra Balog, Péter Csóka, Tamás László Bátyi, Miklós Pintér
Publication date: 25 May 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2016.10.052
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Risk contributions of lambda quantiles* ⋮ On benefits of cooperation under strategic power ⋮ On the Shapley value of liability games ⋮ Preservation of risk in capital markets ⋮ On the Impossibility of Fair Risk Allocation ⋮ Consistency between principal and agent with differing time horizons: computing incentives under risk ⋮ Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency ⋮ Measuring exposure to dependence risk with random Bernstein copula scenarios ⋮ A generalization of the Aumann-Shapley value for risk capital allocation problems ⋮ A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited ⋮ Extended gradient of convex function and capital allocation ⋮ Pooling Risk Games
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