A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited

Autor:	Jianxi Su, Yisub Kye, Edward Furman
Rok vydání:	2020
Předmět:	Statistics and Probability Economics and Econometrics business.industry Financial economics Capital (economics) Systematic risk Economics Risk capital Top-down and bottom-up design Statistics Probability and Uncertainty business Risk management
Zdroj:	North American Actuarial Journal. 25:395-416
ISSN:	2325-0453 1092-0277
DOI:	10.1080/10920277.2020.1774781
Popis:	In the current reality of prudent risk management, the problem of determining aggregate risk capital in financial entities has been intensively studied. As a result, canonical methods have been dev...
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::2cbb8c780cee82a0fe88639581da952a https://doi.org/10.1080/10920277.2020.1774781 Zobrazit plný text záznamu