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Risk Based Capital Allocation

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Author Info
Albrecht, Peter () (Sonderforschungsbereich 504)
Abstract

The present contribution reviews the procedures (absolute, incremental and marginal capital allocation) as well as the general principles (proportional allocation, covariance-principle, conditional expectation-principle, conditional value-at-risk principle, Euler-principle) for risk based capital allocation. The approaches discussed are applicable for the insurance case, the investment case and as well for credit risks.

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Publisher Info
Paper provided by Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim in its series Sonderforschungsbereich 504 Publications with number 03-02.

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Length: 23 pages
Date of creation: 04 Feb 2003
Date of revision:
Handle: RePEc:xrs:sfbmaa:03-02

Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. O. Scaillet, 2004. "Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall," Mathematical Finance, Blackwell Publishing, vol. 14(1), pages 115-129. [Downloadable!] (restricted)
  2. Christian Gourieroux & J. P. Laurent & Olivier Scaillet, 2000. "Sensitivity Analysis of Values at Risk," Econometric Society World Congress 2000 Contributed Papers 0162, Econometric Society. [Downloadable!]
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  3. Taflin, Erik, 2000. "Equity allocation and portfolio selection in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 65-81, August. [Downloadable!] (restricted)
  4. Fischer, T., 2003. "Risk capital allocation by coherent risk measures based on one-sided moments," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 135-146, February. [Downloadable!] (restricted)
  5. Tasche, Dirk, 2002. "Expected shortfall and beyond," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1519-1533, July. [Downloadable!] (restricted)
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