CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK

Alexander S. Cherny

28 citations0/0 files storedMathematical Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

We define the capital allocation and the risk contribution for discrete‐time coherent risk measures and provide several equivalent representations of these objects. The formulations and the proofs are based on two instruments introduced in the paper: a probabilistic notion of the extreme system and a geometric notion of the generator. These notions are also of interest on their own and are important for other applications of coherent risk measures. All the concepts and results are illustrated by JP Morgan's Risk Metrics model.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 28 citations exist upstream.

References

1999Coherent Measures of Risk 2002Convex measures of risk and trading constraints 2002Coherent Risk Measures on General Probability Spaces 2002Putting order in risk measures 2001Coherent allocation of risk capital 2002Expected shortfall and beyond 2004Dynamic coherent risk measures 2005Conditional and dynamic convex risk measures

Cited by

2017DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS 2007Pricing and hedging European options with discrete-time coherent risk 2011Pricing in Incomplete Markets 2015On Dynamic Spectral Risk Measures and a Limit Theorem

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.