This paper introduces the τ-value for risk capital allocation. First, the existence of this value is shown. Second, the τ-value capital allocation rule is shown to satisfy six desirable properties. Finally, a characterization of this value for risk capital allocation problems is provided based on two additional properties
10.1016/j.eswa.2014.05.017The costs of operational risk refer to the capital needed to cover the los...
This chapter reviews capital allocation in the banking sector. Capital is crucial if banks are to be...
We examine properties of risk measures that can be considered to be in line with some 'best practice...
The paper proposes a new method to allocate risk capital to divisions or lines of business within a ...
Abstract: This paper analyzes risk capital allocation problems. For risk capital allocation problems...
In this thesis we address the issue of covering risks by allocating capital and solving the so-calle...
Insurance companies or other financial institutions face financial risks during their various activi...
The present contribution reviews the procedures (absolute, incremental and marginal capital allocati...
The cost of operational risk refers to the capital needed to a fford the loss generated by ordinary ...
We introduce the notion of set-valued Capital Allocation rule, and study Capital allocation principl...
In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a fir...
This paper deals with the problem of capital allocation for a peculiar class of risk measures, namel...
We present a theory of risk capital and of how tax and other costs of risk capital should be allocat...
International audienceEuropean insurance sector will soon be faced with the application of the Solve...
Tasche [Tasche, D., 1999. Risk contributions and performance measurement. Working paper, Technische ...
10.1016/j.eswa.2014.05.017The costs of operational risk refer to the capital needed to cover the los...
This chapter reviews capital allocation in the banking sector. Capital is crucial if banks are to be...
We examine properties of risk measures that can be considered to be in line with some 'best practice...
The paper proposes a new method to allocate risk capital to divisions or lines of business within a ...
Abstract: This paper analyzes risk capital allocation problems. For risk capital allocation problems...
In this thesis we address the issue of covering risks by allocating capital and solving the so-calle...
Insurance companies or other financial institutions face financial risks during their various activi...
The present contribution reviews the procedures (absolute, incremental and marginal capital allocati...
The cost of operational risk refers to the capital needed to a fford the loss generated by ordinary ...
We introduce the notion of set-valued Capital Allocation rule, and study Capital allocation principl...
In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a fir...
This paper deals with the problem of capital allocation for a peculiar class of risk measures, namel...
We present a theory of risk capital and of how tax and other costs of risk capital should be allocat...
International audienceEuropean insurance sector will soon be faced with the application of the Solve...
Tasche [Tasche, D., 1999. Risk contributions and performance measurement. Working paper, Technische ...
10.1016/j.eswa.2014.05.017The costs of operational risk refer to the capital needed to cover the los...
This chapter reviews capital allocation in the banking sector. Capital is crucial if banks are to be...
We examine properties of risk measures that can be considered to be in line with some 'best practice...
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