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Justification of per-unit risk capital allocation in portfolio credit risk models
Dorfleitner, Gregor; Pfister, Tamara - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-29
Persistent link: https://www.econbiz.de/10010438509
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Capital allocation in credit portfolios in a multi-period setting : a literature review and practical guidelines
Pfister, Tamara; Utz, Sebastian; Wimmer, Maximilian - In: Review of managerial science 9 (2015) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10010472490
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Multivariate TVaR-based risk decomposition for vector-valued portfolios
Mailhot, Mélina; Mesfioui, Mhamed - In: Risks : open access journal 4 (2016) 4, pp. 1-16
In order to protect stakeholders of insurance companies and financial institutions against adverse outcomes of risky businesses, regulators and senior management use capital allocation techniques. For enterprise-wide risk management, it has become important to calculate the contribution of each...
Persistent link: https://www.econbiz.de/10011556505
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The center of a convex set and capital allocation
Grechuk, Bogdan - In: European journal of operational research : EJOR 243 (2015) 2, pp. 628-636
Persistent link: https://www.econbiz.de/10010510003
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Risk contributions of lambda quantiles
Ince, Akif; Peri, Ilaria; Pesenti, Silvana - In: Quantitative finance 22 (2022) 10, pp. 1871-1891
Persistent link: https://www.econbiz.de/10013367959
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Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
Lee, Yong Woong; Poon, Ser-Huang - In: Journal of economic dynamics & control 41 (2014), pp. 69-92
Persistent link: https://www.econbiz.de/10010425019
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A multilevel factor approach for the analysis of CDS commonality and risk contribution
Rodríguez-Caballero, Carlos Vladimir; Caporin, Massimiliano - In: Journal of international financial markets, … 63 (2019), pp. 1-18
Persistent link: https://www.econbiz.de/10012263344
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The role of correlation in risk profile portfolios
Vandenbroucke, Jürgen - In: The journal of asset management 18 (2017) 2, pp. 144-153
Persistent link: https://www.econbiz.de/10011695012
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Trading book and credit risk : how fundamental is the Basel review?
Laurent, Jean-Paul; Sestier, Michael; Thomas, Stéphane - In: Journal of banking & finance 73 (2016), pp. 211-223
Persistent link: https://www.econbiz.de/10011635717
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Critical appraisal of the Basel fundamental review of the trading book regulations
Orgeldinger, J. - In: Journal of risk management in financial institutions 10 (2016/2017) 3, pp. 257-275
Persistent link: https://www.econbiz.de/10011800765