JUSTIFICATION OF PER-UNIT RISK CAPITAL ALLOCATION IN PORTFOLIO CREDIT RISK MODELS

DOI10.1142/S0219024914500393zbMath1298.91134OpenAlexW1970101666MaRDI QIDQ2929379

Tamara Pfister, Gregor Dorfleitner

Publication date: 12 November 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024914500393

zbMATH Keywords

credit riskcapital allocationrisk capitalrisk contributionper-unit risk

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

Cites Work

• Unnamed Item
• Coherent risk measures, coherent capital allocations and the gradient allocation principle
• On convex risk measures on \(L^{p}\)-spaces
• Mathland: the role of mathematics in virtual architecture
• Coherent Measures of Risk
• LÉVY SIMPLE STRUCTURAL MODELS
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION

This page was built for publication: JUSTIFICATION OF PER-UNIT RISK CAPITAL ALLOCATION IN PORTFOLIO CREDIT RISK MODELS