Gribkova, Nadezhda; Su, Jianxi; Zitikis, Ricardas - 2022
The prominence of the Euler allocation rule (EAR) is rooted in the fact that it is the only return on risk-adjusted capital (RORAC) compatible capital allocation rule. When the total regulatory capital is set using the value-at-risk (VaR), the EAR becomes -- using a statistical term -- the...