An axiomatic approach to capital allocation

Mathematical Finance

Volumn 15, Issue 3, 2005, Pages 425-437

  Kalkbrener, Michael ^a  

^a DEUTSCHE BANK AG   (Germany)

Author keywords

Capital allocation; Expected shortfall; Hahn Banach theorem; Risk measure; Value at risk

Indexed keywords

EID: 22544476245     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2005.00227.x     Document Type: Article

References (28)

1. ACERBI, C., and D. TASCHE (2002): On the Coherence of Expected Shortfall, J. Banking Finance 26, 1487-1503.
2. ARTZNER, P., F. DELBAEN, J.-M. EBER, and D. HEATH (1997): Thinking Coherently, RISK 10(11), 68-71.
3. ARTZNER, P., F. DELBAEN, J.-M. EBER, and D. HEATH (1999a): Coherent Measures of Risk, Math. Finance 9(3), 203-228.
4. ARTZNER, P., F. DELBAEN, J.-M. EBER, and D. HEATH (1999b): Risk Management and Capital Allocation with Coherent Measures of Risk; in Proceedings of the 8th Symposium on Finance, Banking, and Insurance, University of Karlsruhe. Available at http://symposium.wiwi.uni-karlsruhe.de/8thpapers/ artzner.ps
5. BLUHM, C., L. OVERBECK, and C. WAGNER (2002): An Introduction to Credit Risk Modeling. Boca Raton, FL: CRC Press/Chapman & Hall.
6. DELBAEN, F. (2000): Coherent Risk Measures. Lecture notes, Scuola Normale Superiore di Pisa.
7. DELBAEN, F. (2002): Coherent Risk Measures on General Probability Spaces; in Advances in Finance and Stochastics - Essays in Honour of Dieter Sondermann, K. Sandmann and P. J. Schönbucher, eds. Springer: Berlin.
8. DENAULT, M. (2001): Coherent Allocation of Risk Capital, J. Risk 4(1), 1-34.
9. DOWD, K. (1998): Beyond Value at Risk, The New Science of Risk Management. Chichester, U.K.: Whiley.
10. DUFFIE, D., and J. PAN (1997): An Overview of Value at Risk, J. Derivatives 4(3), 7-49.
11. DUNFORD, N., and J. SCHWARTZ (1958): Linear Operators - Part I: General Theory, New York: Interscience Publishers.
12. FISCHER, T. (2003): Risk Capital Allocation by Coherent Risk Measures Based on One-Sided Moments, Insurance: Math. Econ. 32(1), 135-146.
13. GARMAN, M. B. (1996): Improving on VAR, RISK 9(5), 61-63.
14. GARMAN, M. B. (1997): Taking VAR to Pieces, RISK 10(10), 70-71.
15. GOURIÉROUX, C., J. P. LAURENT, and O. SCAILLET (2000): Sensitivity Analysis of Value at Risk, J. Empirical Finance 7, 225-245.
16. HALLERBACH, W. (1999): Decomposing Portfolio Value-at-Risk: A General Analysis, J. Risk 5(2), 1-18.
17. JORION, P. (1997): Value at Risk. Chicago: Irwin.
18. KALKBRENER, M., H. LOTTER, and L. OVERBECK (2004): Sensible and Efficient Capital Allocation for Credit Portfolios, RISK, S19-S24.
19. LEMUS, G. (1999): Portfolio Optimization with Quantile-Based Risk Measures. Ph.D. Thesis, Sloan School of Management, MIT. Available at http://citeseer.nj.nec.com/ lemus99portfolio.html
20. MARKOWITZ, H. M. (1952): Portfolio Selection, J. Finance 1, 77-91.
21. OVERBECK, L. (2000): Allocation of Economic Capital in Loan Portfolios; in Proceedings "Measuring Risk in Complex Stochastic Systems," W. Härdle and G. Stahl, eds., Lecture Notes in Statistics, Vol. 147. Berlin: Springer, 1999.
22. RISK METRICS (1995): Technical Document. New York: Morgan Guarantee Trust Company, Global Research.
23. ROCKAFELLAR, R. T., and S. URYASEV (2000): Optimization of Conditional Value-at-Risk, J. Risk 2, 21-41.
24. ROCKAFELLAR, R. T., and S. URYASEV (2001): Conditional Value-at-Risk for General Loss Distributions. Research report 2001-5, ISE Department, University of Florida.
25. SCHMOCK, U., and D. STRAUMANN (1999): Allocation of Risk Capital and Performance Measurement. Seminar presentations at Quantitative Methods in Finance 1999 Conference, University of Technology, Sydney, July 1999, and Conference on Risk Theory, Oberwolfach, September 1999. Available at http://www.math.ethz.ch/schmock/ftp/ slides/AllocationSlidesOct1999.pdf
26. TASCHE, D. (1999): Risk Contributions and Performance Measurement. Technical document, Munich University of Technology. Available at http://citeseer.nj.nec.com/tasche99risk.html
27. TASCHE, D. (2002): Expected Shortfall and Beyond, J. Banking Finance 26, 1519-1533.
28. URBAN, M., J. DITTRICH, C. KLÜPPELBERG, and R. STÖLTING (2003): Allocation of Risk Capital to Insurance Portfolios. Technical document, Munich University of Technology.