Capital allocation in financial institutions: the Euler method
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- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2015. "A risk management approach to capital allocation," Working Papers hal-01163180, HAL.
- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2016. "On capital allocation by minimizing multivariate risk indicators," Post-Print hal-01082559, HAL.
- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2014. "On capital allocation by minimizing multivariate risk indicators," Working Papers hal-01082559, HAL.
More about this item
KeywordsCapital Allocation; Coherent Measures of Risk; Core; Simulation;
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- C70 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - General
- G20 - Financial Economics - - Financial Institutions and Services - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-27 (All new papers)
- NEP-BAN-2011-07-27 (Banking)
- NEP-CMP-2011-07-27 (Computational Economics)
- NEP-GTH-2011-07-27 (Game Theory)
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