Title: Volatile allocations / Tim Boonen
Author: Boonen, Tim J.
Notes: Sumario: Capital allocation is an important tool for the quantitative risk management of insurers, banks or other financial institutions. In the academic literature, one solution to this problem has gained predominance: the Euler rule. In this article, I show some pitfalls of this allocation rule and introduce an alternative: the t-risk capital allocation rule.
Other categories: 7
Rights: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/