Risk contributions: duality and sensitivity

DOI10.1080/14697688.2017.1423175zbMath1406.60105OpenAlexW2791263240MaRDI QIDQ4619540

Colm Art O'Cinneide

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1423175

zbMATH Keywords

risk contributionrisk attributionalternating bilinear formsrisk decompositionconstraint attributioncontribution to risk

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Eigenvalues, singular values, and eigenvectors (15A18) Stochastic matrices (15B51)

Cites Work

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• Risk capital allocation by coherent risk measures based on one-sided moments.
• Coherent Measures of Risk
• ON TWO APPROACHES TO COHERENT RISK CONTRIBUTION
• CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK
• External Risk Measures and Basel Accords
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION

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