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Homeen-gbAn approach to capital allocation based on mean conditional value-at-riskThe authors put forward a means of Euler capital allocation where the probability level is adjusted such that the total capital is equal to the reference quantile-based capital level.
https://www.risk.net/journal-of-risk/7957437/an-approach-to-capital-allocation-based-on-mean-conditional-value-at-risk
https://www.risk.net/journal-of-risk/7957437/an-approach-to-capital-allocation-based-on-mean-conditional-value-at-risk
Thu, 10 Aug 2023 10:11:21 +0100