Add to ORKGThe present contribution reviews the procedures (absolute, incremental and marginal capital allocation) as well as the general principles (proportional allocation, covariance-principle, conditional expectation-principle, conditional value-at-risk principle, Euler-principle) for risk based capital allocation. The approaches discussed are applicable for the insurance case, the investment case and as well for credit risks
On the surface, capital allocation sounds contradictory to the stated purpose of insurance, which is...
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 present contribution reviews the procedures (absolute, incremental and marginal capital allocati...
The present contribution reviews the procedures (absolute, incremental and marginal capital allocati...
Insurance companies or other financial institutions face financial risks during their various activi...
The European insurance sector will soon be faced with the application of Solvency 2 regulation norms...
In this thesis we address the issue of covering risks by allocating capital and solving the so-calle...
This paper develops a unifying framework for allocating the aggregate capital of a financial firm to...
The cost of operational risk refers to the capital needed to a fford the loss generated by ordinary ...
ABSTRACT Capital allocation for credit portfolios has two meanings. First, at portfolio level it mea...
International audienceEuropean insurance sector will soon be faced with the application of the Solve...
We present a theory of risk capital and of how tax and other costs of risk capital should be allocat...
This paper develops a unifying framework for allocating the aggregate capital of a financial firm to...
This paper introduces the τ-value for risk capital allocation. First, the existence of this value is...
On the surface, capital allocation sounds contradictory to the stated purpose of insurance, which is...
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 present contribution reviews the procedures (absolute, incremental and marginal capital allocati...
The present contribution reviews the procedures (absolute, incremental and marginal capital allocati...
Insurance companies or other financial institutions face financial risks during their various activi...
The European insurance sector will soon be faced with the application of Solvency 2 regulation norms...
In this thesis we address the issue of covering risks by allocating capital and solving the so-calle...
This paper develops a unifying framework for allocating the aggregate capital of a financial firm to...
The cost of operational risk refers to the capital needed to a fford the loss generated by ordinary ...
ABSTRACT Capital allocation for credit portfolios has two meanings. First, at portfolio level it mea...
International audienceEuropean insurance sector will soon be faced with the application of the Solve...
We present a theory of risk capital and of how tax and other costs of risk capital should be allocat...
This paper develops a unifying framework for allocating the aggregate capital of a financial firm to...
This paper introduces the τ-value for risk capital allocation. First, the existence of this value is...
On the surface, capital allocation sounds contradictory to the stated purpose of insurance, which is...
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 ...