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Risk Budgets

In: Extreme Financial Risks and Asset Allocation

Author

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  • Olivier Le Courtois
  • Christian Walter

Abstract

This chapter presents the main risk measures used for the assessment of risk budgets, and their practical computation. We first recall the conceptual framework within which risk measures are defined. We then highlight the importance of probabilistic hypotheses for the construction of risk measures. Finally, we examine these measures, and the numerical methods that allow us to compute them. This chapter concludes with examples of computations using Laplace processes, in calendar or in modified time, and with alpha-stable motions…

Suggested Citation

  • Olivier Le Courtois & Christian Walter, 2014. "Risk Budgets," World Scientific Book Chapters, in: Extreme Financial Risks and Asset Allocation, chapter 9, pages 227-252, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9781783263097_0009
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