This paper described a theory of capital allocation for decentralized businesses, taking into account the costs associated with risk capital. We derive an adjusted present value expression for making investment decisions, that incorporates the time varying profile of risk capital. We discuss the implications for business performance measurement
The present contribution reviews the procedures (absolute, incremental and marginal capital allocati...
This paper introduces the τ-value for risk capital allocation. First, the existence of this value is...
Banks and other financial institutions should allocate capital in proportion to the marginal default...
This paper develops a theory of capital allocation in opaque financial intermediaries. The model end...
We present a theory of risk capital and of how tax and other costs of risk capital should be allocat...
10.1016/j.eswa.2014.05.017The costs of operational risk refer to the capital needed to cover the los...
This article develops a unifying framework for allocating the aggregate capital of a financial firm ...
The cost of operational risk refers to the capital needed to a fford the loss generated by ordinary ...
Insurance companies or other financial institutions face financial risks during their various activi...
Motivation. Capital allocation can have substantial ramifications upon measuring risk adjusted profi...
Almost all large corporations face decisions on capital allocations. By correctly allocating capital...
Purpose – Corporate risk management is one of the critical concerns of managers when they make inves...
This paper develops a unifying framework for allocating the aggregate capital of a financial firm to...
The book analyses how Value at Risk models for market, credit, operational and business risk can be ...
This article develops a unifying framework for allocating the aggregate capital of a financial firm ...
The present contribution reviews the procedures (absolute, incremental and marginal capital allocati...
This paper introduces the τ-value for risk capital allocation. First, the existence of this value is...
Banks and other financial institutions should allocate capital in proportion to the marginal default...
This paper develops a theory of capital allocation in opaque financial intermediaries. The model end...
We present a theory of risk capital and of how tax and other costs of risk capital should be allocat...
10.1016/j.eswa.2014.05.017The costs of operational risk refer to the capital needed to cover the los...
This article develops a unifying framework for allocating the aggregate capital of a financial firm ...
The cost of operational risk refers to the capital needed to a fford the loss generated by ordinary ...
Insurance companies or other financial institutions face financial risks during their various activi...
Motivation. Capital allocation can have substantial ramifications upon measuring risk adjusted profi...
Almost all large corporations face decisions on capital allocations. By correctly allocating capital...
Purpose – Corporate risk management is one of the critical concerns of managers when they make inves...
This paper develops a unifying framework for allocating the aggregate capital of a financial firm to...
The book analyses how Value at Risk models for market, credit, operational and business risk can be ...
This article develops a unifying framework for allocating the aggregate capital of a financial firm ...
The present contribution reviews the procedures (absolute, incremental and marginal capital allocati...
This paper introduces the τ-value for risk capital allocation. First, the existence of this value is...
Banks and other financial institutions should allocate capital in proportion to the marginal default...
DOI
Add to ORKG