RORAC. An insightful example shows that the implementation of classical gradient capital allocation can be suboptimal if … requirements are refined by adding a risk correction term that takes into account the interdependencies of the risks of different …

In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a firm. Specifically, we … determine the capital allocation that minimizes the excesses of sets of portfolios in lexicographical sense. The excess of a set … of portfolios is defined as the expected loss of that set of portfolios in excess of the amount of risk capital allocated …

. Shareholders are protected by limited liability, and hence implement excessive risk-taking of bank mangers by offering high powered … incentive schemes. Deferral of payments reduces risk-shifting. However, deferred bonuses may backfire by distorting the … allocation of risky projects within the banking sector. Moreover, we show that mandatory deferral of compensation is weakly …

characteristics of insurance risk, to (b) the quantification of this risk through risk measures, to (c) the application of these …

numerical method to solve large-scale dynamic stochastic natural resource allocation problems that cannot be addressed by … conventional methods. The method is illustrated with an application focusing on the allocation of global land resource use under …

allows firm owners to trade off efficient allocation of consumption against the efficient allocation of capital. We show that … for reasonable values of risk aversion, insurance needs more than offset production efficiency concerns …

This paper deals with cost allocation problems arising from connection situations where edge costs are closed intervals … of real numbers. To solve such problems, we extend classical solutions from the theory of minimum cost spanning tree …

This paper examines the optimal allocation of risk in an overlapping-generations economy. It compares the allocation of … risk the economy reaches naturally to the allocation that would be reached if generations behind a Rawlsian quot;veil of … ignorancequot; could share risk with one another through complete Arrow-Debreu contingent-claims markets. The paper then examines …

allocation principle distributes the total systemic risk among individual institutions according to their size-shifted marginal …In this paper we develop a framework for measuring, allocating and managing systemic risk. SystRisk, our measure of … total systemic risk, captures the a priori cost to society for providing tail-risk insurance to the financial system. Our …

We introduce the notion of set-valued Capital Allocation rule, and study Capital allocation principles for multivariate … set-valued coherent and convex risk measures. We compare these rules with some of those mostly used for univariate (single …-valued) risk measures …