Justification of per-unit risk capital allocation in portfolio credit risk models
Year of publication: |
2014
|
---|---|
Authors: | Dorfleitner, Gregor ; Pfister, Tamara |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 6, p. 1-29
|
Subject: | Risk capital | capital allocation | risk contribution | per-unit risk | credit risk | Theorie | Theory | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Risikokapital | Venture capital | Risiko | Risk | Risikomanagement | Risk management | Allokation | Allocation |
-
Pfister, Tamara, (2015)
-
The center of a convex set and capital allocation
Grechuk, Bogdan, (2015)
-
Risk contributions of lambda quantiles
Ince, Akif, (2022)
- More ...
-
Justification of per-unit risk capital allocation in portfolio credit risk models
Dorfleitner, Gregor, (2012)
-
Capital allocation and per-unit risk in inhomogeneous and stressed credit portfolios
Dorfleitner, Gregor, (2013)
-
Justification of per-unit risk capital allocation in portfolio credit risk models
Dorfleitner, Gregor, (2014)
- More ...