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Coherent risk measures, coherent capital allocations and the gradient allocation principle · Study

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ArticleCoherent risk measures, coherent capital allocations and the gradient allocation principle

Arne Buch2007

OA

Articlegreen2007

Coherent risk measures, coherent capital allocations and the gradient allocation principle

Arne Buch · Gregor Dorfleitner

78 citations·0/0 files stored·Insurance Mathematics and Economics

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Probability and Risk Models

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 78 citations exist upstream.

References

1999Coherent Measures of Risk 2002On the coherence of expected shortfall 2002Coherent Risk Measures on General Probability Spaces 2002Expected Shortfall: A Natural Coherent Alternative to Value at Risk 2001Coherent allocation of risk capital 2002Expected shortfall and beyond 2000Sensitivity analysis of Values at Risk 2005AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION

Cited by

2008Skewed bivariate models and nonparametric estimation for the CTE risk measure 2013Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation 2011Risk capital allocation for RORAC optimization 2012Systemic risk components and deposit insurance premia

Details

Year2007

Typearticle

Published2007-03-02

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations78

Files0 public / 0

ShelfRisk and Portfolio Optimization

Identifiers

doi10.1016/j.insmatheco.2007.02.006

openalex_workW2047081575

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