One of the key components of financial risk management is risk measurement. This typically requires modeling …

risk aggregation. The so-called "square-root formula" uses correlation parameters between, for example, market risk, non …-life insurance risk and default risk to determine the company's aggregate capital requirement. To support decision-making, companies … will allocate the required capital back to business segments and risk drivers. We demonstrate that capital allocations …

Quantiles play an important role in modelling quality of service in the service industry and in modelling risk in the … for quantile sensitivities by means of sample path differentiation. This has led to an intensive search for sample …-path differentiation based estimators for quantile sensitivities. In this paper we present a novel approach to quantile sensitivity …