Shepheard-Walwyn, Tim; Litterman, Robert - UBS AG <Zürich; Goldman, Sachs & Co. <New York, NY>; … - 1998
[...]In this paper, we therefore consider how riskmeasures, based on internal models of this type, might beintegrated into a firm’s own methodology for allocatingrisk capital to its individual business units and for determiningits optimal capital structure. We also consider theimplications of...