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Risk based capital allocation

Author

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  • Albrecht, Peter

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.

Suggested Citation

  • Albrecht, Peter, 2003. "Risk based capital allocation," Papers 03-02, Sonderforschungsbreich 504.
    • Handle: RePEc:mnh:spaper:2778
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    File URL: https://madoc.bib.uni-mannheim.de/2778/1/dp03_02.pdf
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    References listed on IDEAS

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    Cited by:

    1. Céline Gauthier & Toni Gravelle & Xuezhi Liu & Moez Souissi, 2011. "What Matters in Determining Capital Surcharges for Systemically Important Financial Institutions?," Discussion Papers 11-9, Bank of Canada.

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